Stochastic Volatility, a closed formula for futures contracts-Reference-Cited by-同舟云学术

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Stochastic Volatility, a closed formula for futures contracts

Published:2022-05-18 Issue: Volume: Page:
ISSN:
Container-title:2022 11th International Symposium on Signal, Image, Video and Communications (ISIVC)
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Author:

Boughabi Houssam¹,Qalli Yassine El¹

Affiliation:

1. National Institute of Statistics and Applied Economics,Rabat,Morocco

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx7/9800204/9800205/09800730.pdf?arnumber=9800730

Reference7 articles.

1. Benchmarking and Fair Pricing for Forward Contracts;eddahbi;Working Paper,2008

2. A Maximum Likelihood Approach to the Estimation of Heath-Jarrow-Morton Models;bhar;Working Paper 80 Quantitative Finance Research Centre UTS,2002

3. Energy Futures Prices: Term Structure;manoliu,2002

4. Pricing of Contingent Claims in the One Factor Term Structure Model;jamshidian,1987

5. Arbitrage in continuous complete markets

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