Approximation for convenience yield with mean-reverting commodity price
Year of publication: |
August 2015
|
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Authors: | Zhao, Qiang ; Gu, Guiding |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 3, p. 233-242
|
Subject: | Convenience Yield | Mean-Reverting Price | Options | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative | Rohstoffpreis | Commodity price |
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