Valuation of European crude oil options with co-jump diffusions and stochastic interest rate

DOI10.3934/JIMO.2022238OpenAlexW4312722094MaRDI QIDQ2698596FDOQ2698596

Authors: Ren-Jie Han, Qing-Gang Tian, Dong Yan, Ben-Zhang Yang 

Publication date: 24 April 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022238

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zbMATH Keywords

fast Fourier transformpartial integro-differential equationstochastic convenience yieldstochastic interest rateco-jump riskscrude oil options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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