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Book Chapter

CTM and the explicit option pricing formula for a mean-reverting asset in energy markets

Springer Science and Business Media B.V., (2016), 89-106
DOI: 10.1007/978-3-319-32408-1_7
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Abstract

In this chapter, we apply the CTM to get the explicit option pricing formula for a mean-reverting asset in energy markets.

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APA

Swishchuk, A. (2016). CTM and the explicit option pricing formula for a mean-reverting asset in energy markets. In SpringerBriefs in Mathematics (pp. 89–106). Springer Science and Business Media B.V. https://doi.org/10.1007/978-3-319-32408-1_7

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