Open AccessPricing European options on agriculture commodity prices using mean-reversion model with jump diffusion
Author(s) -
KOMANG DHARMAWAN
Publication year - 2017
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.4979418
Subject(s) - mean reversion , jump diffusion , futures contract , econometrics , spot contract , jump , commodity , economics , convenience yield , jump process , monte carlo method , hedge , financial economics , mathematics , statistics , finance , physics , quantum mechanics , ecology , biology
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