A Numerical Solution to American Style Options on Commodities

Kevin Burrage, Jamie Alcock and Monica Barbu

No 135, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Commodity markets; option pricing; optimal stopping; numerical methods (search for similar items in EconPapers)
JEL-codes: C15 C63 G13 (search for similar items in EconPapers)
Date: 2003-08-01
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf3:135

Access Statistics for this paper

More papers in Computing in Economics and Finance 2003 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().