Pricing commodity spread options with stochastic term structure of convenience yields and interest rates
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Publication:2471740
DOI10.1007/S10690-007-9057-6zbMATH Open1151.91528OpenAlexW2091268659MaRDI QIDQ2471740FDOQ2471740
Authors: Katsushi Nakajima, Akira Maeda 
Publication date: 18 February 2008
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-007-9057-6
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Cites Work
- Title not available (Why is that?)
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Martingales and stochastic integrals in the theory of continuous trading
- Changes of numéraire, changes of probability measure and option pricing
- The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk
Cited In (7)
- Storage Costs in Commodity Option Pricing
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- Commodity spread option with cointegration
- The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk
- Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
- Pricing forward-futures spread based on copulas with stochastic simulation
- Pricing spread options with stochastic interest rates
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