Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields (Q2056999)
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scientific article; zbMATH DE number 7440955
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields |
scientific article; zbMATH DE number 7440955 |
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Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields (English)
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8 December 2021
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variance swaps
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discrete sampling
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Schwartz's two-factor model
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commodity prices
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convenience yields
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