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Pricing Commodity Futures Options in the Schwartz Multi Factor Model with Stochastic Volatility: An Asymptotic Method
| Content Provider | Scilit |
|---|---|
| Author | Chen, Jilong |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal In this paper we investigate the applicability of the asymptotic approach developed in Fouque et al. (2000) for pricing commodity futures options in a Schwartz |
| Related Links | http://eprints.gla.ac.uk/143724/1/143724.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2869041 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2869041 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-01-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Commodity Futures Options |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |