Valuation of commodity derivatives in a new multi-factor model
Year of publication: |
2002
|
---|---|
Authors: | Yan, Xuemin |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 5.2002, 3, p. 251-271
|
Publisher: |
Springer |
Subject: | Asian options | commodity derivatives | random jumps | stochastic volatility |
-
The stochastic volatility model with random jumps and its application to BRL/USD exchange rate.
Laurini, Márcio P., (2014)
-
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei, (2014)
-
Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel, (2008)
- More ...
-
Security concentration and active fund management : do focused funds offer superior performance?
Sapp, Travis, (2008)
-
Price momentum and idiosyncratic volatility
Arena, Matteo P., (2008)
-
Liquidity, investment style, and the relation between fund size and fund performance
Yan, Xuemin Sterling, (2008)
- More ...