Pricing of Derivatives on Mean-Reverting Assets

The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class of assets, convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion in the log-...

Full description

Bibliographic Details
Main Author: Lutz, Björn
Format: eBook
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2010, 2010
Edition:1st ed. 2010
Series:Lecture Notes in Economics and Mathematical Systems
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Mean Reversion in Commodity Prices
  • Fundamentals of Derivative Pricing
  • Stochastic Volatility Models
  • Integration of Jump Components
  • Stochastic Equilibrium Level of the Underlying Process
  • Deterministic Seasonality Effects
  • Conclusion