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
Brignone, Riccardo http://orcid.org/0000-0001-8282-8036
Gonzato, Luca
Sgarra, Carlo
Funding for this research was provided by:
Albert-Ludwigs-Universität Freiburg im Breisgau
Text and Data Mining valid from 2023-01-07
Version of Record valid from 2023-01-07
Article History
Accepted: 13 December 2022
First Online: 7 January 2023