The jump size distribution of the commodity spot price and its effect on futures and option prices

DOI10.1155/2017/3286549zbMath1470.91276OpenAlexW2765211690MaRDI QIDQ1667549

J. Martínez-Rodríguez, Z. Habibilashkary, L. Gómez-Valle

Publication date: 30 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/3286549

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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