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"Commodity Asian option pricing and simulation in a 4-factor model with ..."

Riccardo Brignone, Luca Gonzato, Carlo Sgarra (2024)

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DOI: 10.1007/S10479-022-05152-X

access: open

type: Journal Article

metadata version: 2024-06-08

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  - journals/anor/BrignoneGS24
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Riccardo Brignone, Luca Gonzato, Carlo Sgarra:
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. Ann. Oper. Res. 336(1-2): 275-306 (2024)

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