Valuation of commodity derivatives in a new multi-factor model (Q1415461)
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scientific article; zbMATH DE number 2012868
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| English | Valuation of commodity derivatives in a new multi-factor model |
scientific article; zbMATH DE number 2012868 |
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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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0.8479337692260742
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0.8106464147567749
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0.8072878122329712
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0.7871041893959045
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0.7867733240127563
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