Pricing Commodity Futures Options in the Schwartz Multi Factor Model with Stochastic Volatility : An Asymptotic Method
Year of publication: |
2016
|
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Authors: | Chen, Jilong |
Other Persons: | Ewald, Christian-Oliver (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative | Faktorenanalyse | Factor analysis |
Extent: | 1 Online-Ressource (23 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 14, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2869041 [DOI] |
Classification: | G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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