Pricing of derivatives on commodity indices
Year of publication: |
2013
|
---|---|
Authors: | Rauch, Johannes ; Krayzler, Mikhail ; Brunner, Bernhard ; Zagst, Rudi |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 29.2013, C, p. 143-151
|
Publisher: |
Elsevier |
Subject: | Commodity index | Derivative pricing | Model calibration | Replication portfolio | Volatility surface |
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