Pricing commodity index options
Alberto Pedro Manzano-Herrero, Emanuele Nastasi, Andrea Pallavicini and Carlos Vázquez
| Year of publication: |
2023
|
|---|---|
| Authors: | Manzano-Herrero, Alberto Pedro ; Nastasi, Emanuele ; Pallavicini, Andrea ; Vázquez, Carlos |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 2, p. 297-308
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| Subject: | Commodity futures | Commodity indices | Markov projections | Option pricing | Stochastic local volatility | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Stochastischer Prozess | Stochastic process | Warenbörse | Commodity exchange | Rohstoffpreis | Commodity price | Markov-Kette | Markov chain | Rohstoffmarkt | Commodity market | Index | Index number |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2138775 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232638