Pricing of Derivatives on Mean-Reverting Assets

• Main Author: Lutz, Bjr̲n. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Lecture Notes in Economics and Mathematical Systems, 630
• Subjects: Economics.; Finance.; Banks and banking.; Economics/Management Science.; Finance /Banking.; Financial Economics.; Quantitative Finance.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-02909-7

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-...

Table of Contents:

• Introduction
• Mean Reversion in Commodity Prices
• Fundamentals of Derivative Pricing
• Stochastic Volatility Models
• Integration of Jump Components
• Stochastic Equilibrium Level
• Deterministic Seasonality Effects
• Conclusion.