Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates
Year of publication: |
2016
|
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Authors: | Cheng, Benjamin |
Other Persons: | Sklibosios Nikitopoulos, Christina (contributor) ; Schlögl, Erik (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative | Zins | Interest rate | Derivat | Derivative |
Extent: | 1 Online-Ressource (30 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 6, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2712025 [DOI] |
Classification: | C60 - Mathematical Methods and Programming. General ; G13 - Contingent Pricing; Futures Pricing ; Q40 - Energy. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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