Explicit option pricing formula for a mean-reverting asset in energy market (Q3607222)
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scientific article; zbMATH DE number 5521296
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Explicit option pricing formula for a mean-reverting asset in energy market |
scientific article; zbMATH DE number 5521296 |
Statements
28 February 2009
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mean-reverting asset
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European call option
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option pricing formula
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risk-neutral measure
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Black-Scholes formula
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AECO Natural Gas Index
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0.7914385199546814
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0.7884863018989563
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0.7751803994178772
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0.7675042748451233
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