Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied Mathematical Finance 15 (2008) 5-6, pp. 449-477
It is well known that stochastic volatility is an essential feature of commodity spot prices. By using methods of … itself mean-reverting, are extended to include stochastic volatility and each is analysed in detail. The stochastic … options on single- and two-name forward prices. The expansion methodology is based on a fast mean-reverting stochastic …