A Numerical Solution to American Style Options on Commodities
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 135.
Date of creation: 01 Aug 2003
Date of revision:
Commodity markets; option pricing; optimal stopping; numerical methods;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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