COMMODITY FUTURES TERM STRUCTURE MODEL

DOI10.4134/BKMS.2014.51.6.1791zbMath1306.60100OpenAlexW1982594867MaRDI QIDQ2936218

Du-Seop Jung, Unnamed Author, Song-Hwa Kwon, Hyeong In Choi

Publication date: 6 January 2015

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=412260

zbMATH Keywords

volatilityterm structure modelstochastic analysisEuropean optioncommodity futuresconvenience yield

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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