Pricing of Derivatives on Mean-Reverting Assets
(Sprache: Englisch)
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...
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Klappentext zu „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-price process is combined with other stochastic factors such as stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic seasonality effects. Another focus is on numerical algorithms to calculate the Fourier integral as well as to integrate systems of ordinary differential equations.
Inhaltsverzeichnis zu „Pricing of Derivatives on Mean-Reverting Assets “
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.
Bibliographische Angaben
- Autor: Björn Lutz
- 2009, XVIII, 137 Seiten, Masse: 15,5 x 23,6 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3642029086
- ISBN-13: 9783642029080
- Erscheinungsdatum: 06.10.2009
Sprache:
Englisch
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