Pricing of Derivatives on Mean-Reverting Assets

• Κύριος συγγραφέας: Lutz, Björn (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Σειρά: Lecture Notes in Economics and Mathematical Systems, 630
• Θέματα: Finance.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.; Applications of Mathematics.; Quantitative Finance.

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-...