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Subordinated affine structure models for commodity future prices

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-26

new simple technique derived from our novel theory for subordinated affine structure models. Different from existing …

Persistent link: https://www.econbiz.de/10012657447

Subordinated affine structure models for commodity future prices

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 6 (2018) 1, pp. 1-26

technique derived from our novel theory for subordinated affine structure models. Different from existing filtering methods for …

Persistent link: https://www.econbiz.de/10012023123

Asian Spread Option Pricing Models and Computation

Chen, Sijin 1979- - 2010

In the commodity and energy markets, there are two kinds of risk that traders and analysts are concerned a lot about: multiple underlying risk and average price risk. Spread options, swaps and swaptions are widely used to hedge multiple underlying risks and Asian (average price) options can deal...

Persistent link: https://www.econbiz.de/10009456489