Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Zonggang Ma, Chaoqun Ma, Zhijian Wu
| Year of publication: |
2022
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|---|---|
| Authors: | Ma, Zonggang ; Ma, Chaoqun ; Wu, Zhijian |
| Subject: | Commodity-linked bonds | Convenience yield | Credit risk | Mellin transform | Pricing | Kreditrisiko | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zins | Interest rate |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-021-09181-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013191382