Showing 1 - 1 of 1
<section xml:id="fut21597-sec-0001"> Stochastic volatility, price jumps, seasonality, and stochastic cost of carry have been included separately, but not collectively, in pricing models of agricultural commodity futures and options. We propose a comprehensive model that incorporates all four features. We employ a special Markov...</section>
Persistent link: https://www.econbiz.de/10011196963