Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield (Q2120709)
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scientific article; zbMATH DE number 7501448
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| English | Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield |
scientific article; zbMATH DE number 7501448 |
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Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield (English)
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1 April 2022
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commodity prices
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futures prices
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options prices
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convenience yield
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seasonality
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Mellin transform
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0.7901083827018738
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0.7417610287666321
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0.7370748519897461
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0.7369336485862732
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0.7367735505104065
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