VALUATION OF OPTIONS ON OIL FUTURES UNDER THE 3/4 OIL PRICE MODEL

DOI10.1142/S0219024915500508zbMath1337.91110OpenAlexW2177201034MaRDI QIDQ3467594

Mohammed A. Aba Oud, Joanna M. Goard

Publication date: 3 February 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500508

zbMATH Keywords

commodity optionsoptions on futuresoptions on oil

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Stochastic Models for Oil Prices and the Pricing of Futures on Oil
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