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Persistent link: https://www.econbiz.de/10009413614
In this paper we study the pricing of commodity swaptions in a Heath-Jarrow-Morton framework based on stochastic spot prices, interest rates and convenience yields. We develop a complementary framework for deriving approximations of swaption prices. In the class of Gaussian models the method...
Persistent link: https://www.econbiz.de/10013134001