Pricing commodity spread options with stochastic term structure of convenience yields and interest rates (Q2471740)
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scientific article; zbMATH DE number 5236600
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| English | Pricing commodity spread options with stochastic term structure of convenience yields and interest rates |
scientific article; zbMATH DE number 5236600 |
Statements
Pricing commodity spread options with stochastic term structure of convenience yields and interest rates (English)
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18 February 2008
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Commodity
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Convenience yield
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Heath-Jarrow-Morton interest rate model
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Spread options
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0.7760993838310242
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0.7650452256202698
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0.7599005699157715
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0.7576065063476562
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