Pricing a class of exotic commodity options in a multi-factor jump-diffusion model

DOI10.1080/14697680701545707zbMath1154.91437OpenAlexW1992508569MaRDI QIDQ3605222

John Crosby

Publication date: 23 February 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22110

zbMATH Keywords

option pricingcommodity pricesjump-diffusionpricing of derivativescontinuous time financecommodity derivativescommodity options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

Additive subordination and its applications in finance ⋮ Pricing renewable identification numbers under uncertainty ⋮ Markov models for commodity futures: theory and practice

Cites Work

• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A multi-factor jump-diffusion model for commodities†
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Option and Futures Evaluation With Deterministic Volatilities¹
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing inflation-indexed derivatives

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