Pricing of long-dated commodity derivatives : do stochastic interest rates matter?
Benjamin Cheng, Christina Sklibosios Nikitopoulos, Erik Schlögl
| Year of publication: |
October 2018
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|---|---|
| Authors: | Cheng, Benjamin ; Nikitopoulos, Christina Sklibosios ; Schlögl, Erik |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 95.2018, p. 148-166
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| Subject: | Futures options pricing | Stochastic interest rates | Correlations | Long-dated crude oil derivatives | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Rohstoffderivat | Commodity derivative | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Erdöl | Petroleum | Korrelation | Correlation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2017.05.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011966734