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Pricing options on realized variance

✍ Scribed by Peter Carr; Hélyette Geman; Dilip B. Madan; Marc Yor

Publisher
Springer-Verlag
Year
2005
Tongue
English
Weight
201 KB
Volume
9
Category
Article
ISSN
0949-2984

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📜 SIMILAR VOLUMES

Pricing real options under the constant
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✍ José Carlos Dias; João Pedro Vidal Nunes 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 149 KB 👁 1 views

## Abstract Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets.

Pricing average options on commodities
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he recent introduction of options on agricultural futures has fueled a growing T research interest on issues ranging from risk-return characteristics of option hedging strategies to the valuation of commodity options. Valuation models for options on common stocks have been extensively used ever sinc