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Commodity derivatives 1 singular perturbation methods 1 spread options 1 stochastic volatility 1
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Hikspoors, Samuel 1 Jaimungal, Sebastian 1
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Applied Mathematical Finance 1
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
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 singular perturbation theory, we obtain approximate but explicit closed-form pricing equations for forward contracts and options on single- and two-name forward prices. The expansion...
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