Masterclass with Deutsche Bank: Mean-reverting smiles - Commodity markets such as crude oil exhibit mean reversion as well as option siniles. The authors construct a riiodel suitable for pricing exotic options in these markets.
| Year of publication: |
2002
|
|---|---|
| Authors: | Chebanier, Alain ; Beaglehole, David |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 4, p. 95-98
|