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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter
;
Gourier, Elise
;
Huitema, Robert
; …
- In:
Journal of banking & finance
77
(
2017
),
pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
Saved in:
2
Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel
;
Farkas, Walter
;
Gourier, Elise
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 39-66
Persistent link: https://www.econbiz.de/10011656703
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