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

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Original language	English
Journal	Stochastic Processes and Their Applications
Volume	109
Issue	1
Pages (from-to)	79-111
Number of pages	33
ISSN	0304-4149
Publication status	Published - 2004

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@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",

}