Valuation of commodity derivatives in a new multi-factor model (Q1415461)

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Valuation of commodity derivatives in a new multi-factor model
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    Valuation of commodity derivatives in a new multi-factor model (English)
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    4 December 2003
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    The paper, though it contains some new insights, is chiefly expository in the sense that it summarizes the most important results on the subjects of the title. It proposes a new model ``to value commodity derivatives with stochastic convenience yields, stochastic interest rates, stochastic volatility and simultaneous jumps in the spot price and spot volatility''.
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    Asian options
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    random jumps
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    stochastic volatility
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