<p>The effects of stochasticity of convenience yield on the European option prices for Test 1.</p
We examine how price impact in the underlying asset market affects the replication of a European con...
Many valuation models in financial economics are developed using the pricing kernel approach to adju...
In this paper we develop approximating formulas for European options prices based on short term asym...
<p>The effects of stochasticity of convenience yield on the American option prices for Test 2.</p
<p>The effects of stochasticity of convenience yield on the futures prices for Test 3.</p
This paper considers contingent claims on a commodity when both the spot price and the convenience y...
Distributional Divergence and Statistical Experiments are used herein for a positive stochastic proc...
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rate...
This paper investigates how convenience yield risk is priced in commodity markets.1 page(s
American and Bermudan options have a wide range of applications in financial markets, e.g. in commod...
We study the effect of an asset's volatility on the expected returns of European options written on ...
We present a European option pricing when the underlying asset price dynamics is governed by a linea...
We examine how price impact in the underlying asset market affects the replication of a European con...
Through a simple Monte Carlo experiment, Dimitrios Gkamas documents the effects that stochastic vola...
This paper studies the probability distribution and option pricing for drawdown in a stochastic vola...
We examine how price impact in the underlying asset market affects the replication of a European con...
Many valuation models in financial economics are developed using the pricing kernel approach to adju...
In this paper we develop approximating formulas for European options prices based on short term asym...
<p>The effects of stochasticity of convenience yield on the American option prices for Test 2.</p
<p>The effects of stochasticity of convenience yield on the futures prices for Test 3.</p
This paper considers contingent claims on a commodity when both the spot price and the convenience y...
Distributional Divergence and Statistical Experiments are used herein for a positive stochastic proc...
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rate...
This paper investigates how convenience yield risk is priced in commodity markets.1 page(s
American and Bermudan options have a wide range of applications in financial markets, e.g. in commod...
We study the effect of an asset's volatility on the expected returns of European options written on ...
We present a European option pricing when the underlying asset price dynamics is governed by a linea...
We examine how price impact in the underlying asset market affects the replication of a European con...
Through a simple Monte Carlo experiment, Dimitrios Gkamas documents the effects that stochastic vola...
This paper studies the probability distribution and option pricing for drawdown in a stochastic vola...
We examine how price impact in the underlying asset market affects the replication of a European con...
Many valuation models in financial economics are developed using the pricing kernel approach to adju...
In this paper we develop approximating formulas for European options prices based on short term asym...
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