Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility : an asymptotic method
Jilong Chen, Christian-Oliver Ewald
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Chen, Jilong ; Ewald, Christian-Oliver |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 52.2017, p. 144-151
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| Subject: | Commodities | Derivatives | Stochastic volatility | Stochastic convenience yield | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2017.05.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011868721