Russian and American put options under exponential phase-type Lévy models

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

239 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Stochastic Processes and Their Applications
Vol/bind	109
Nummer	1
Sider (fra-til)	79-111
Antal sider	33
ISSN	0304-4149
Status	Udgivet - 2004

Biblioteksadgang?

@article{c2d1e90015b611dcbee902004c4f4f50,

title = "Russian and American put options under exponential phase-type L{\'e}vy models",

author = "S. Asmussen and F. Avram and M. Pistorius",

year = "2004",

language = "English",

volume = "109",

pages = "79--111",

journal = "Stochastic Processes and Their Applications",

issn = "0304-4149",

publisher = "Elsevier B.V.",

number = "1",

}