Asymptotic pricing of commodity derivatives using stochastic volatility spot models

Applied Mathematical Finance

Volumn 15, Issue 5-6, 2008, Pages 449-477

  Hikspoors, Samuel ^a   Jaimungal, Sebastian ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Commodity derivatives; Singular perturbation methods; Spread options; Stochastic volatility

Indexed keywords

EID: 57649213791     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860802170432     Document Type: Article

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