| 書目名稱 | Pricing of Derivatives on Mean-Reverting Assets |
| 編輯 | Bj?rn Lutz |
| 視頻video | http://file.papertrans.cn/756/755119/755119.mp4 |
| 概述 | Includes supplementary material: |
| 叢書名稱 | Lecture Notes in Economics and Mathematical Systems |
| 圖書封面 |  |
| 描述 | .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.. |
| 出版日期 | Book 2010 |
| 關(guān)鍵詞 | Derivative Pricing; Fourier Inversion; Incomplete Markets; Mean-Reversion; Numerical Integration of ODE |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-02909-7 |
| isbn_softcover | 978-3-642-02908-0 |
| isbn_ebook | 978-3-642-02909-7Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 2010 |
|Archiver|手機(jī)版|小黑屋|
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