Seasonal Stochastic Volatility : Implications for the Pricing of Commodity Options
Year of publication: |
2019
|
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Authors: | Arismendi-Zambrano, Juan |
Other Persons: | Back, Janis (contributor) ; Prokopczuk, Marcel (contributor) ; Paschke, Raphael (contributor) ; Rudolf, Markus (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Volatilität | Volatility | Saisonale Schwankungen | Seasonal variations | Warenbörse | Commodity exchange | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (53 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Banking and Finance, Vol. 66, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 1, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.1879109 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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