Pricing of Derivatives on Mean-Reverting Assets

by Björn Lutz

Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion

MoreLess

Year of publication:	2010
Authors:	Lutz, Björn
Publisher:	Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg
Subject:	Rohstoffderivat \| Commodity derivative \| Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Mean Reversion \| Mean reversion \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Finanzanalyse \| Financial analysis \| Theorie \| Theory \| Warentermingeschäft \| Derivat <Wertpapier> \| Preisbildung \| Stochastisches Modell
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (digital)
Series:	Lecture Notes in Economics and Mathematical Systems ; 630 SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 133 - 137 Pricing of Derivatives on Mean-Reverting Assets; List of Figures; List of Tables; List of Notations and Symbols; 1 Introduction; 2 Mean Reversion in Commodity Prices; 3 Fundamentals of Derivative Pricing; 4 Stochastic Volatility Models; 5 Integration of Jump Components; 6 Stochastic Equilibrium Level; 7 Deterministic Seasonality Effects; 8 Conclusion; References;
ISBN:	978-3-642-02909-7 ; 978-3-642-02908-0
Other identifiers:	10.1007/978-3-642-02909-7 [DOI]
Classification:	Mikroökonomie ; Geld, Inflation, Kapitalmarkt ; Investition, Finanzierung
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013522771