Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
Year of publication: |
2016
|
---|---|
Authors: | Trolle, Anders B. |
Other Persons: | Schwartz, Eduardo S. (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | Erdöl | Petroleum |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Review of Financial Studies, vol. 22, no. 11, p. 4423-4461, 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2009 erstellt Volltext nicht verfügbar |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Schneider, Lorenz, (2019)
-
Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Christoffersen, Peter, (2020)
-
Determinants of Trader Profits in Commodity Futures Markets
Dewally, Michaël, (2013)
- More ...
-
A general stochastic volatility model for the pricing and forecasting of interest rate derivatives
Trolle, Anders B., (2006)
-
A general stochastic volatility model for the pricing of interest rate derivatives
Trolle, Anders B., (2009)
-
Unspanned stochastic volatility and the pricing of commodity derivatives
Trolle, Anders B., (2009)
- More ...