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Pricing commodity index options - MaRDI portal

Pricing commodity index options (Q6158400)

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scientific article; zbMATH DE number 7698383
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English
Pricing commodity index options
scientific article; zbMATH DE number 7698383

    Statements

    title
    Pricing commodity index options (English)
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    publication date
    20 June 2023
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    zbMATH Keywords
    commodity futures
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    commodity indices
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    option pricing
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    stochastic local volatility
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    Markov projections
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    Identifiers

    arXiv ID
    2208.01289
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    65C05
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    zbMATH DE Number
    7698383
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