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

A. van Haastrecht, R. Lord, A. Pelsser

Research output: Contribution to JournalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)57-86
JournalJournal of Computational Finance
Volume17
Issue number3
DOIs
Publication statusPublished - 2014

Bibliographical note

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

Cite this

@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",

}

Monte Carlo pricing in the Schobel-Zhu model and its extensions. / van Haastrecht, A.; Lord, R.; Pelsser, A.

In: Journal of Computational Finance, Vol. 17, No. 3, 2014, p. 57-86.

Research output: Contribution to JournalArticleAcademicpeer-review

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

VL - 17

SP - 57

EP - 86

JO - Journal of Computational Finance

JF - Journal of Computational Finance

SN - 1460-1559

IS - 3

ER -