Commodity derivatives pricing with cointegration and stochastic covariances
Mei Choi Chiu; Hoi Ying Wong; Jing Zhao
| Year of publication: |
2015
|
|---|---|
| Authors: | Chiu, Mei Choi ; Wong, Hoi Ying ; Zhao, Jing |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 246.2015, 2 (16.10.), p. 476-486
|
| Subject: | Option pricing | Cointegration | Stochastic covariance | Stochastic convenience yield | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative | Kointegration | Korrelation | Correlation | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011338124