Valuing commodity options and futures options with changing economic conditions
Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Fan, Kun ; Shen, Yang ; Siu, Tak Kuen ; Wang, Rongming |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 524-533
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| Subject: | Commodity options | Futures options | Regime-switching | Gibson-Schwartz two-factor model | Fast Fourier transform | Optionspreistheorie | Option pricing theory | Warenbörse | Commodity exchange | Derivat | Derivative | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011476145