Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility : an asymptotic method
Year of publication: |
July 2017
|
---|---|
Authors: | Chen, Jilong ; Ewald, Christian-Oliver |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 52.2017, p. 144-151
|
Subject: | Commodities | Derivatives | Stochastic volatility | Stochastic convenience yield | Rohstoffderivat | Commodity derivative | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
-
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre, (2014)
-
A multifactor stochastic volatility model of commodity prices
Cortazar, Gonzalo, (2017)
-
Ewald, Christian, (2021)
- More ...
-
Chen, Jilong, (2016)
-
Chen, Jilong, (2014)
-
Time Dependent Volatility in Futures Contract Options
Chen, Jilong, (2018)
- More ...