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zbMath1164.60047MaRDI QIDQ3607222

Anatoliy Swishchuk

Publication date: 28 February 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Black-Scholes formula risk-neutral measure European call option option pricing formula AECO Natural Gas Index mean-reverting asset

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

SMILE MODELING IN COMMODITY MARKETS ⋮ AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES

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