Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (Q6549599)
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scientific article; zbMATH DE number 7859340
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| English | Commodity Asian option pricing and simulation in a 4-factor model with jump clusters |
scientific article; zbMATH DE number 7859340 |
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Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (English)
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4 June 2024
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commodity derivatives
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multifactor affine stochastic volatility models
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self-exciting jumps
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simulation
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Asian options
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0.8481494784355164
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0.7716057300567627
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0.7618551850318909
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0.759233832359314
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0.7566362023353577
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