Algorithm of calculation of combined commodity options value

DOI10.3103/S1068362322010071MaRDI QIDQ2132109zbMATH OpenOpenAlexFDO

Authors H. Kechejian, V. G. Bardakhchyan, Viktor Ohanyan

Publication date 27 April 2022

Published in Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s1068362322010071

zbMATH Keywords

commodity optionsmultivariate Gaussian distributionswitch options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• On Poisson mixture of lognormal distributions
• Pricing and Hedging Spread Options

Cited in

(2)

• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
• Universal portfolios: Bayesian approximation

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