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"A new lattice-based scheme for swing option pricing under mean-reverting ..."

Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani (2021)

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DOI: 10.1016/J.CAM.2020.113132

access: closed

type: Journal Article

metadata version: 2023-09-24

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Z. Ahmadi, Seyed Mohammad Hosseini, Ali Foroush Bastani:
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. J. Comput. Appl. Math. 383: 113132 (2021)

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