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Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized features. We first state our model under the histor...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9825090/ https://www.ncbi.nlm.nih.gov/pubmed/36643858 http://dx.doi.org/10.1007/s10479-022-05152-x |