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-...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
2010, 2010
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| Edition: | 1st ed. 2010 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| 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