Multiscale stochastic volatility model for derivatives on futures
Year of publication: |
2014
|
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Authors: | Fouque, Jean-Pierre ; Saporito, Yuri F. ; Zubelli, Jorge P. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 7, p. 1-31
|
Subject: | Stochastic volatility | perturbation method | options on futures | futures price | commodities | Derivat | Derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative |
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