Valuation of commodity derivatives with an unobservable convenience yield
Anh Ngoc Lai, Constantin Mellios
| Year of publication: |
2016
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|---|---|
| Authors: | Anh Ngoc Lai ; Mellios, Constantin |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 66.2016, p. 402-414
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| Subject: | Commodity spot prices | Futures prices | Option prices | Convenience yield | Interest rates | Incomplete information | Unobservable variables | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | Warenbörse | Commodity exchange | Derivat | Derivative | Unvollkommene Information | Zins | Interest rate | Schätzung | Estimation | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2015.03.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011429130