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SMILE MODELING IN COMMODITY MARKETS - MaRDI portal

SMILE MODELING IN COMMODITY MARKETS (Q3304207)

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SMILE MODELING IN COMMODITY MARKETS
scientific article

    Statements

    title
    SMILE MODELING IN COMMODITY MARKETS (English)
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    author
    Emanuele Nastasi
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    Andrea Pallavicini
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    Giulio Sartorelli
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    publication date
    5 August 2020
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    zbMATH Keywords
    commodity
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    option pricing
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    margining procedures
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    collaterals
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    local volatility
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    stochastic volatility
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    Identifiers

    zbMATH DE Number
    7228489
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    arXiv ID
    1808.09685
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    OpenAlex ID
    W3031920620
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