Efficient pricing of swing options in Lévy-driven models

Author: Kudryavtsev Oleg   Zanette Antonino  

Publisher: Routledge Ltd

ISSN: 1469-7688

Source: Quantitative Finance, Vol.13, Iss.4, 2013-04, pp. : 627-635

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract