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