Pricing of Derivatives on Mean-Reverting Assets

By Björn Lutz

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.

• Format: Paperback
• Language: English
• ISBN: 3642029086
• ISBN13: 9783642029080
• Release Date: October 2009
• Publisher: Springer
• Length: 137 Pages
• Weight: 0.50 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"