Asian options with zero cost-of-carry: EEX options on freight and iron ore futures

DOI10.1007/S10203-020-00283-XMaRDI QIDQ2044818zbMATH OpenOpenAlexFDO

Authors Espen Gaarder Haug

Publication date 10 August 2021

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10203-020-00283-x

zbMATH Keywords

arithmetic average rate optionsAsian optionsEuropean energy exchangefreight futures optionsiron ore futures optionszero cost-of-carry

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• The log-normal approximation in financial and other computations

Cited in

(1)

• A machine learning-based price state prediction model for agricultural commodities using external factors

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