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-...
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| Format: | Electronic eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2010.
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| Series: | Lecture Notes in Economics and Mathematical Systems,
630 |
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| Online Access: | Full Text via HEAL-Link |
