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Pricing a class of exotic commodity options in a multi-factor jump-diffusion model JOHN CROSBY Lloyds TSB Financial Markets, Faryners House, 25 Monument Street, London EC3R 8BQ Email address: [removed] 28th Mar
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Document Date: 2008-07-21 09:34:50

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File Size: 314,42 KB

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City

Dubai / New York / Paris / /

Company

Cox / OTC markets / /

Country

Nigeria / /

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Event

Labor Issues / /

Facility

Monument Street / /

Holiday

Assumption / /

IndustryTerm

electricity / crude oil / heating oil / natural gas markets / natural gas / refined petroleum product / refined oil product / particular refined petroleum product / oil / base metal / energy / /

NaturalFeature

1dN mt / /

Person

Dempster / Peter Carr / Simon Babbs / Hong / Andrew Johnson / JOHN CROSBY / Bonny Light / /

Position

multi-factor jump-diffusion model / author / model of Crosby / multi-factor jump-diffusion model for commodities and commodity options / forward / trader / /

Product

Fourier transform / /

ProvinceOrState

Dubai / /

Technology

ado / /

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