Commodity derivatives pricing with cointegration and stochastic covariances (Q319797): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6633679 / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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cointegration | |||
| Property / zbMATH Keywords: cointegration / rank | |||
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stochastic covariance | |||
| Property / zbMATH Keywords: stochastic covariance / rank | |||
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stochastic convenience yield | |||
| Property / zbMATH Keywords: stochastic convenience yield / rank | |||
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Revision as of 01:43, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Commodity derivatives pricing with cointegration and stochastic covariances |
scientific article |
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Commodity derivatives pricing with cointegration and stochastic covariances (English)
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6 October 2016
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option pricing
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cointegration
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stochastic covariance
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stochastic convenience yield
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