Monte Carlo pricing in the Schobel-Zhu model and its extensions

Research output: Contribution to Journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	57-86
Journal	Journal of Computational Finance
Volume	17
Issue number	3
DOIs	https://doi.org/10.21314/JCF.2014.288
Publication status	Published - 2014

PT: J; NR: 23; TC: 0; J9: J COMPUT FINANC; PG: 30; GA: AQ5VU; UT: WOS:000342877500004

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@article{552822d227e1479291ea29d58e497ebe,

title = "Monte Carlo pricing in the Schobel-Zhu model and its extensions",

author = "{van Haastrecht}, A. and R. Lord and A. Pelsser",

note = "PT: J; NR: 23; TC: 0; J9: J COMPUT FINANC; PG: 30; GA: AQ5VU; UT: WOS:000342877500004",

year = "2014",

doi = "10.21314/JCF.2014.288",

language = "English",

volume = "17",

pages = "57--86",

journal = "Journal of Computational Finance",

issn = "1460-1559",

publisher = "Incisive Media Ltd.",

number = "3",

}

TY - JOUR

T1 - Monte Carlo pricing in the Schobel-Zhu model and its extensions

AU - van Haastrecht, A.

AU - Lord, R.

AU - Pelsser, A.

N1 - PT: J; NR: 23; TC: 0; J9: J COMPUT FINANC; PG: 30; GA: AQ5VU; UT: WOS:000342877500004

PY - 2014

Y1 - 2014

U2 - 10.21314/JCF.2014.288

DO - 10.21314/JCF.2014.288

M3 - Article

SN - 1460-1559

VL - 17

SP - 57

EP - 86

JO - Journal of Computational Finance

JF - Journal of Computational Finance

IS - 3

ER -