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Masterclass with Deutsche Bank: A two-factor mean-reverting model - The authors develop a two-factor mean-reverting model for crude oil that is then applied to various exotic derivatives valuation problems.
Beaglehole, David; Chebanier, Alain - In: Risk : managing risk in the world's financial markets 15 (2002) 7, pp. 65-69
Persistent link: https://www.econbiz.de/10007036011
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Masterclass with Deutsche Bank: Mean-reverting smiles - Commodity markets such as crude oil exhibit mean reversion as well as option siniles. The authors construct a riiodel suitable for pricing exotic options in these markets.
Chebanier, Alain; Beaglehole, David - In: Risk : managing risk in the world's financial markets 15 (2002) 4, pp. 95-98
Persistent link: https://www.econbiz.de/10007038423