In this paper we review some applications of the path integral methodology of quantum
mechanics to financial modeling and options pricing. A path integral is defined as a limit of …

This article derives the first analytical pricing formulas for American-style Asian options of the
so-called floating strike type. Geometric as well as arithmetic averaging is considered. The …

Commodity Option Pricing: A Practitioner's Guide covers commodity option pricing for
quantitative analysts, traders or structurers in banks, hedge funds and commodity trading …

In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing
formula for forward‐starting Asian options and derive the correct one. First, illustrate in …

A swaption is a derivative contract granting the right to enter into a swap. The literature on
swaptions is sparse, and only the interest rate swaption has been examined. This paper …

In recent years, commodity contingent claims have become increasingly popular and
important hedging instruments in the financial markets characterized by varying degree of …

In this paper, formulas for commodity swaptions are presented. By utilizing the forward price
based approach a simple closed form solution for European swaptions is derived based on …

В первой части статьи рассматривались способы управления ценовыми рисками с
помощью форвардных и фьючерсных контрактов. Вторая часть посвящена сырьевым …

中大機構典藏-NCU Institutional Repository-博碩士論文91428002 詳細資訊 博碩士論文
91428002 詳細資訊 以作者查詢圖書館館藏 ,以作者查詢臺灣博碩士 ,以作者查詢全國書目 ,勘誤 …