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Seasonality in commodity prices: new approaches for pricing plain vanilla options (Q6549625)

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scientific article; zbMATH DE number 7859368
Language Label Description Also known as
English
Seasonality in commodity prices: new approaches for pricing plain vanilla options
scientific article; zbMATH DE number 7859368

    Statements

    title
    Seasonality in commodity prices: new approaches for pricing plain vanilla options (English)
    0 references
    author
    Carme Frau
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    Viviana Fanelli
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    publication date
    4 June 2024
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    zbMATH Keywords
    commodities
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    natural gas
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    futures prices
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    option pricing
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    fast Fourier transform
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    term-structure model
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    analytical solution
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    seasonal stochastic volatility
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    sinusoidal functions
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    91G60
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    65T50
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    zbMATH DE Number
    7859368
    0 references
     
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