Business Economics Department
Jovellanos Building, Road to Valldemossa km7.5
Palma de Mallorca, 07122
Spain
University of Balearic Islands
Commodities, crude oil, futures prices, option pricing, Fourier transform, fast Fourier transform, term-structure model, analytical solution, stochastic volatility, jump-diffusion.
Commodities, natural gas, futures prices, option pricing, fast Fourier transform (FFT), term-structure model, analytical solution, seasonal stochastic volatility, sinusoidal functions.
Commodities, crack spread option, calendar spread option, joint characteristic function, Fourier inversion, Fourier transform, analytical solution
Commodities, WTI light sweet crude oil, multivariate process, calendar spread options, joint characteristic function, Fourier transform, analytical solution, jump diffusion, stochastic volatility.
Commodities, option pricing, Fourier transform, analytical solutions
