CUTTING EDGE Commodities Commodity options optimised - In 2005, John Crosby introduced a very flexible framework in which it is possible to price derivatives, including exotics, on almost any underlying commodity. In this article, he shows how pricing can be done approximately 30 to 400 times faster than the methodology originally proposed,
| Year of publication: |
2006
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| Authors: | Crosby, John |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 5, p. 84
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