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 Date: 2007-07-09 13:41:36Finance Investment Black–Scholes Volatility smile Implied volatility Stochastic volatility Trinomial tree Volatility Forward contract Financial economics Mathematical finance Options |
| PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where theDocID: 1preO - View Document |
| Microsoft Word - QF_Sub2.docDocID: 125vl - View Document |
| Climate Risk Management: the Case of Tropical Cyclones Carolyn W. Changa, Jack S.K. Changb, Kian Guan Limc JEL classification: G13 Keywords: Tropical cyclones, Catastrophe risk management, Doubly-binomial Tree with stocDocID: zl58 - View Document |
| ALBANESE.QXD[removed]:23DocID: dzen - View Document |
| Author manuscript, published in "Encyclopedia of Quantitative Finance[removed]pages" DOI : [removed][removed]eqf12017DocID: 4GvY - View Document |