THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES

Robert Jarrow ()

Chapter 12 in Financial Derivatives Pricing:Selected Works of Robert Jarrow, 2008, pp 247-275 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONTHE ECONOMYTHE ARBITRAGE PRICING METHODOLOGYFORWARD CONTRACTSFUTURES CONTRACTSCOMMODITY OPTIONS ON THE SPOT COMMODITYCOMMODITY OPTIONS ON FUTURES CONTRACTSSUMMARYAPPENDIXNOTESREFERENCES

Keywords: Derivatives; Options; Hedging; HJM; Black–Scholes; Forwards; Futures; Martingale Measure; Calls; Puts; Market Manipulation; Margin Requirements (search for similar items in EconPapers)
Date: 2008
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