Pricing of Derivatives on Mean-Reverting Assets

by Bjïrn Lutz

Overview

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-price process is combined with other shastic factors such as shastic volatility, jumps in the underlying and the price process and a shastic target level as well as with deterministic seasonality effects. Another focus is on numerical algorithms to calculate the Fourier integral as well as to integrate systems of ordinary differential equations.

Product Details

ISBN-13:	9783642029080
Publisher:	Springer Berlin Heidelberg
Publication date:	10/05/2009
Series:	Lecture Notes in Economics and Mathematical Systems , #630
Edition description:	2010
Pages:	137
Product dimensions:	6.10(w) x 9.10(h) x 0.50(d)

Table of Contents

Mean Reversion in Commodity Prices.- Fundamentals of Derivative Pricing.- Shastic Volatility Models.- Integration of Jump Components.- Shastic Equilibrium Level of the Underlying Process.- Deterministic Seasonality Effects.- Conclusion.