Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
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DOI: 10.1007/s11147-021-09181-9
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More about this item
Keywords
Commodity-linked bonds; Convenience yield; Credit risk; Pricing; Mellin transform;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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