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Found 2 essays matching the above criteria.

1. 1. American Options on Commodities Under Stochastic Convenience Yield and Stochastic Volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Adriano Tosi; [2014]
   Keywords : American option; Least-Squares Method; commodity; stochastic convenience yield; stochastic volatility.; Business and Economics;

   Abstract : American and Bermudan options have a wide range of applications in financial markets, e.g. in commodities markets among others. The pricing literature of such contingent claims is broad and many different algorithms and frameworks have been developed. READ MORE

3. 2. Barrier Quanto Options in Energy Markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Adriano Tosi; [2013]
   Keywords : Business and Economics;

   Abstract : Weather derivatives have increased their relevance in energy markets throughout the last years. Among them, quanto options are one of the fairly new contracts that are traded, over the counter, to manage price and volume risk. Their research literature is scarce and few papers have been published so far. READ MORE