Business Economics Department
Jovellanos Building, Road to Valldemossa km. 7,5
Palma de Mallorca, 07122
Spain
Universitat de les Illes Balears
Commodities, natural gas, futures prices, option pricing, fast Fourier transform (FFT), term-structure model, analytical solution, seasonal stochastic volatility, sinusoidal functions.
Commodities, crude oil, futures prices, option pricing, Fourier transform, fast Fourier transform, term-structure model, analytical solution, stochastic volatility, jump-diffusion.
Commodities, crack spread option, calendar spread option, joint characteristic function, Fourier inversion, Fourier transform, analytical solution
Energy commodities, bivariate processes, calendar spread option, joint characteristic function, analytical solution
Commodities, option pricing, Fourier transform, analytical solutions