Seasonal Stochastic Volatility : implications for the pricing of commodity options
Juan C. Arismendi, Janis Back, Marcel Prokopczuk, Raphael Paschke, Markus Rudolf
| Year of publication: |
May 2016
|
|---|---|
| Authors: | Arismendi Zambrano, Juan Carlos ; Back, Janis ; Prokopczuk, Marcel ; Paschke, Raphael ; Rudolf, Markus |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 66.2016, p. 53-65
|
| Subject: | Commodities | Seasonality | Stochastic volatility | Options pricing | Natural gas | Corn | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Saisonale Schwankungen | Seasonal variations | Rohstoffderivat | Commodity derivative | Stochastischer Prozess | Stochastic process | Erdgas | Warenbörse | Commodity exchange | Black-Scholes-Modell | Black-Scholes model | Erdgasmarkt | Natural gas market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.02.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634553