Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

DOI10.1080/13504860802170432zbMath1156.91374OpenAlexW2015365582MaRDI QIDQ3617304

Samuel Hikspoors, Sebastian Jaimungal

Publication date: 23 March 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860802170432

zbMATH Keywords

stochastic volatilitysingular perturbation methodsspread optionscommodity derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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