Valuation of commodity derivatives in a new multi-factor model
type: Item
instance of: scholarly article
title: Valuation of commodity derivatives in a new multi-factor model
zbMATH Open document ID: 1070.91014
DOI: 10.1023/A:1020871616158
author: Xuemin Yan
published in: Review of Derivatives Research
publication date: 2003-12-04T00:00:00Z
review text: The paper, though it contains some new insights, is chiefly expository in the sense that it summarizes the most important results on the subjects of the title. It proposes a new model ``to value commodity derivatives with stochastic convenience yields, stochastic interest rates, stochastic volatility and simultaneous jumps in the spot price and spot volatility''.
reviewed by: Petre Stavre
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 2012868
zbMATH Keywords: Asian options
zbMATH Keywords: random jumps
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
full work available at URL: a:1020871616158
OpenAlex ID: W1521447894
description: scientific article; zbMATH DE number 2012868