From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Year of publication: |
October 2018
|
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Authors: | Schneider, Lorenz ; Tavin, Bertrand |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 95.2018, p. 185-202
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Subject: | Multi-factor stochastic volatility | Futures curve modelling | Option pricing | Calendar spread options | Crude oil | Fourier inversion methods | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Erdöl | Petroleum | Rohstoffderivat | Commodity derivative | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Kalendereffekt | Calendar effect | Ölpreis | Oil price |
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