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The following pages link to Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield (Q2120709):
Displaying 3 items.
- Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods (Q2165386) (← links)
- Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (Q2240016) (← links)
- Variational inequality arising from variable annuity with mean reversion environment (Q6142192) (← links)