Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates

Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl

Year of publication:	[2015]
Authors:	Cheng, Benjamin ; Nikitopoulos, Christina Sklibosios ; Schlögl, Erik
Publisher:	Sydney : Quantitative Finance Research Centre, University of Technology Sydney
Subject:	futures options \| stochastic interest rates \| stochastic volatility \| correlations \| long-dated commodity derivatives \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Rohstoffderivat \| Commodity derivative \| Derivat \| Derivative \| Zinsderivat \| Interest rate derivative \| Zinsstruktur \| Yield curve \| Zins \| Interest rate

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