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Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

Crossref DOI link: https://doi.org/10.1007/s10479-022-05152-x

Published Online: 2023-01-07

Published Print: 2024-05

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Brignone, Riccardo https://orcid.org/0000-0001-8282-8036
Gonzato, Luca

Sgarra, Carlo
Funding

Funding for this research was provided by:

Albert-Ludwigs-Universität Freiburg im Breisgau
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Text and Data Mining valid from 2023-01-07

Version of Record valid from 2023-01-07
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Article History

Accepted: 13 December 2022

First Online: 7 January 2023