Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield

DOI10.1016/j.chaos.2020.109849zbMath1489.91268OpenAlexW3026654198MaRDI QIDQ2120709

Zonggang Ma, ZhiJian Wu, Chao-Qun Ma

Publication date: 1 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.109849

zbMATH Keywords

Mellin transformseasonalitycommodity pricesfutures pricesconvenience yieldoptions prices

Mathematics Subject Classification ID

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

Related Items

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods, Variational inequality arising from variable annuity with mean reversion environment

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