Lutz, Björn
Pricing of Derivatives on Mean-Reverting Assets
Table of contents
1. Introduction
Björn Lutz
2. Mean Reversion in Commodity Prices
Björn Lutz
3. Fundamentals of Derivative Pricing
Björn Lutz
4. Stochastic Volatility Models
Björn Lutz
5. Integration of Jump Components
Björn Lutz
6. Stochastic Equilibrium Level of the Underlying Process
Björn Lutz
7. Deterministic Seasonality Effects
Björn Lutz
8. Conclusion
Björn Lutz
Keywords: Economics/Management Science, Finance /Banking, Financial Economics, Quantitative Finance
- Author(s)
- Lutz, Björn
- Publisher
- Springer
- Publication year
- 2010
- Language
- en
- Edition
- 1
- Series
- Lecture Notes in Economics and Mathematical Systems
- Page amount
- 13 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9783642029097
