Lévy-Based Cross-Commodity Models and Derivative Valuation

DOI10.1137/100791609zbMath1236.91143OpenAlexW3122660280MaRDI QIDQ5388672

Sebastian Jaimungal, Vladimir Surkov

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100791609

zbMATH Keywords

Lévy processescointegrationFourier transform methodscommodities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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