Multiscale stochastic volatility model for derivatives on futures
Jean-Pierre Fouque and Yuri F. Saporito; Jorge P. Zubelli
| Year of publication: |
2014
|
|---|---|
| Authors: | Fouque, Jean-Pierre ; Saporito, Yuri F. ; Zubelli, Jorge P. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 7, p. 1-31
|
| Subject: | Stochastic volatility | perturbation method | options on futures | futures price | commodities | Derivat | Derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Warenbörse | Commodity exchange | Rohstoffderivat | Commodity 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://ebvufind01.dmz1.zbw.eu/10010498865