From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Lorenz Schneider, Bertrand Tavin
| 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 | Optionsgeschäft | Option trading | Derivat | Derivative | Ölmarkt | Oil market | Korrelation | Correlation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011966746