Pricing of Derivatives on Mean-Reverting Assets

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Björn Lutz, "Pricing of Derivatives on Mean-Reverting Assets"  
Springer | 2009 | ISBN: 3642029086 | 137 pages | PDF | 1 MB



The topic of this book is the development of pricing formulae forEuropean style derivatives on assets with mean-reverting behavior,especially commodity derivatives. For this class of assets, convenienceyield effects lead to mean-reversion under the risk-neutral measure.Mean-reversion in the log-price process is combined with otherstochastic factors such as stochastic volatility, jumps in theunderlying and the price process and a stochastic target level as wellas with deterministic seasonality effects. Another focus is onnumerical algorithms to calculate the Fourier integral as well as tointegrate systems of ordinary differential equations.

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