Pricing of derivatives on commodity indices
Johannes Rauch; Mikhail Krayzler; Bernhard Brunner; Rudi Zagst
| Year of publication: |
2013
|
|---|---|
| Authors: | Rauch, Johannes ; Krayzler, Mikhail ; Brunner, Bernhard ; Zagst, Rudi |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 29.2013, p. 143-151
|
| Subject: | Commodity index | Derivative pricing | Model calibration | Replication portfolio | Volatility surface | Derivat | Derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative | Index-Futures | Index futures | Index | Index number | Portfolio-Management | Portfolio selection | Rohstoffmarkt | Commodity market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010244113