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A Numerical Solution to American Style Options on Commodities

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  • Kevin Burrage
  • Jamie Alcock
  • Monica Barbu

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Suggested Citation

  • Kevin Burrage & Jamie Alcock & Monica Barbu, 2003. "A Numerical Solution to American Style Options on Commodities," Computing in Economics and Finance 2003 135, Society for Computational Economics.
  • Handle: RePEc:sce:scecf3:135
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    References listed on IDEAS

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    More about this item

    Keywords

    Commodity markets; option pricing; optimal stopping; numerical methods;

    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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