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

From MaRDI portal
scientific article
Language Label Description Also known as
English
Valuation of commodity derivatives in a new multi-factor model
scientific article

    Statements

    Valuation of commodity derivatives in a new multi-factor model (English)
    0 references
    0 references
    4 December 2003
    0 references
    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''.
    0 references
    0 references
    Asian options
    0 references
    random jumps
    0 references
    stochastic volatility
    0 references

    Identifiers