EAN: 9783642029080

PRICING OF DERIVATIVES ON MEAN-REVERTING ASSETS...

The topic of this book is the development of pricing formulae for European style derivatives on
assets with mean-reverting behavior  especially commodity derivatives. For this class of assets
convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion
in the log-price process is combined with other stochastic factors such as stochastic
volatility  jumps in the underlying and the price process and a stochastic target level as well
as with deterministic seasonality effects. Another focus is on numerical algorithms to
calculate the Fourier integral as well as to integrate systems of ordinary differential
equations.

Aktuelle Preise zur EAN 9783642029080

Produktinformationen zur 9783642029080