Fast drift-approximated pricing in the BGM model

R (Raoul) Pietersz, AAJ (Antoon) Pelsser, M van Regenmortel

Research output: Contribution to journalArticleAcademic

Original languageUndefined/Unknown
Pages (from-to)93-124
Number of pages32
JournalThe Journal of Computational Finance
Volume8
Issue number1
Publication statusPublished - 2004

Research programs

  • EUR ESE 08

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