Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (Q2698596)
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scientific article; zbMATH DE number 7677910
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| English | Valuation of European crude oil options with co-jump diffusions and stochastic interest rate |
scientific article; zbMATH DE number 7677910 |
Statements
Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (English)
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24 April 2023
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crude oil options
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fast Fourier transform
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partial integro-differential equation
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stochastic convenience yield
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co-jump risks
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stochastic interest rate
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0.8730133
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0.8572589
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0.8563413
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0.8558426
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0.85159016
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