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"A Semi-Lagrangian method for the weather options of mean-reverting ..."

Wenguang Tang, Shuhua Chang (2016)

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DOI: 10.1016/J.CAMWA.2015.12.040

access: open

type: Journal Article

metadata version: 2024-10-06

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Wenguang Tang, Shuhua Chang:
A Semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion. Comput. Math. Appl. 71(5): 1045-1058 (2016)

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