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Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...
Persistent link: https://www.econbiz.de/10013200543
Persistent link: https://www.econbiz.de/10010505172
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...
Persistent link: https://www.econbiz.de/10012204043