Calendar Spread Exchange Options Pricing with Gaussian Random Fields
Most of the models leading to an analytical expression for option prices are based on the assumption that underlying asset returns evolve according to a Brownian motion with drift. For some asset classes like commodities, a Brownian model does not fit empirical covariance and autocorrelation structu...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-08-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/6/3/77 |