Algorithm of calculation of combined commodity options value

DOI10.3103/S1068362322010071zbMath1489.91267OpenAlexW4283391911MaRDI QIDQ2132109

H. Kechejian, V. G. Bardakhchyan, Viktor Ohanyan

Publication date: 27 April 2022

Published in: Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1068362322010071

zbMATH Keywords

multivariate Gaussian distributionswitch optionscommodity options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• On Poisson mixture of lognormal distributions
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• Pricing and Hedging Spread Options

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