Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Year of publication: |
2022
|
---|---|
Authors: | Ma, Zonggang ; Ma, Chaoqun ; Wu, Zhijian |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 25.2022, 1, p. 47-91
|
Subject: | Commodity-linked bonds | Convenience yield | Credit risk | Mellin transform | Pricing | Kreditrisiko | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve |
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