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The Pricing Of Commodity Options With Stochastic Interest Rates

In: Financial Derivatives Pricing Selected Works of Robert Jarrow

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  • Robert A. Jarrow

    (Cornell University, USA)

Abstract

The following sections are included:INTRODUCTIONTHE ECONOMYTHE ARBITRAGE PRICING METHODOLOGYFORWARD CONTRACTSFUTURES CONTRACTSCOMMODITY OPTIONS ON THE SPOT COMMODITYCOMMODITY OPTIONS ON FUTURES CONTRACTSSUMMARYAPPENDIXNOTESREFERENCES

Suggested Citation

  • Robert A. Jarrow, 2008. "The Pricing Of Commodity Options With Stochastic Interest Rates," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 12, pages 247-275, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812819222_0012
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    Cited by:

    1. Darrell Duffie & Robert Jarrow & Amiyatosh Purnanandam & Wei Yang, 2008. "Market Pricing of Deposit Insurance," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 22, pages 551-577, World Scientific Publishing Co. Pte. Ltd..

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