Browsing School of Pure and Applied Sciences by Subject "Euler scheme"
Now showing items 1-1 of 1
-
A Reduced Form of the Three Factor Commodity Derivative Valuation Model
(Research India Publications, 2016)This study build a reduced form of three factor valuation model by explicitly taking into account the unobservable character of the convenience yield. The spot priceprocess,theinstantaneousconvenienceyieldandCIRinterestr ...