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Pricing of Derivatives on Mean-Reverting Assets

Pricing of Derivatives on Mean-Reverting Assets

Paperback

Series: Lecture Notes in Economic and Mathematical Systems, Book 630

Investing & FinanceGeneral Mathematics

ISBN10: 3642029086
ISBN13: 9783642029080
Publisher: Springer Nature
Published: Oct 6 2009
Pages: 137
Weight: 0.50
Height: 0.33 Width: 6.14 Depth: 9.21
Language: English
Mean Reversion in Commodity Prices.- Fundamentals of Derivative Pricing.- Stochastic Volatility Models.- Integration of Jump Components.- Stochastic Equilibrium Level of the Underlying Process.- Deterministic Seasonality Effects.- Conclusion.

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