Closed -form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield

Ma Zonggang; Ma Chaoqun; Wu Zhijian

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Closed -form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield

机译：封闭式 - 农业期货选区分析解决方案，季节性和随机便利率

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《Chaos, Solitons and Fractals: Applications in Science and Engineering: An Interdisciplinary Journal of Nonlinear Science》 |2020年第1期|共10页
作者
Ma Zonggang; Ma Chaoqun; Wu Zhijian;
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作者单位

Guangdong Univ Finance &

Econ Sch Finance Guangzhou 510320 Peoples R China;

Hunan Univ Sch Business Adm Changsha 410082 Peoples R China;

Univ Nevada Dept Math Sci Las Vegas NV 89154 USA;

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正文语种 eng
中图分类动力系统理论;
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1. Closed -form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield [J] . Ma Zonggang, Ma Chaoqun, Wu Zhijian Chaos, Solitons and Fractals: Applications in Science and Engineering: An Interdisciplinary Journal of Nonlinear Science . 2020,第1期

机译：封闭式 - 农业期货选区分析解决方案，季节性和随机便利率
2. A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates [J] . Ma Chaoqun, Ma Zonggang, Xiao Shisong Chaos, Solitons and Fractals: Applications in Science and Engineering: An Interdisciplinary Journal of Nonlinear Science . 2019,第期

机译：随机收益率差价和利率下脆弱欧洲选项的封闭式定价公式
3. A closed form solution for vulnerable options with Heston's stochastic volatility [J] . Lee Min -Ku, Yang Sung-Jin, Kim Jeong-Hoon Chaos, Solitons and Fractals: Applications in Science and Engineering: An Interdisciplinary Journal of Nonlinear Science . 2016,第Null期

机译：具有Heston随机波动性的弱势期权的封闭式解决方案
4. Alternative Form of Analytic Solution of European Option Price in Model with Stochastic Volatility Driven by Ornstein-Uhlenbeck Process Using Bilateral Laplace Transform [C] . G. Christanto, B. D. Handari, H. Tasman International Symposium on Current Progress in Mathematics and Sciences . 2019

机译：使用双边拉普拉斯变换驱动的模型欧洲期权价格分析解决方案的替代形式
5. Investment timing under uncertainty: Real options, process specification and convenience yields. [D] . Zein, Ramzi. 1998

机译：不确定条件下的投资时机：实物期权，工艺规范和便利收益。
6. Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields [O] . Shuhua Chang, Xinyu Wang -1

机译：具有随机便利性收益的碳衍生物估值中的建模和计算
7. Alternative form of analytic solution of European option price in model with stochastic volatility driven by Ornstein-Uhlenbeck process using bilateral Laplace transform [O] . G. Christanto, B. D. Handari, H. Tasman 2019

机译：使用双侧拉普拉斯变换驱动的模型欧洲期权价格欧洲期权价格分析解决方案的替代形式
8. A closed-form trim solution yielding minimum trim drag for airplanes with multiple longitudinal-control effectors [R] . Goodrich, Kenneth H., Sliwa, Steven M., Lallman, Frederick J. 1989

机译：一种封闭式装饰解决方案，为具有多个纵向控制效应器的飞机提供最小的纵倾阻力

Closed -form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield

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