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Cover image for book Pricing of Derivatives on Mean-Reverting Assets

Pricing of Derivatives on Mean-Reverting Assets

By:Björn Lutz
Publisher:Springer Nature
Print ISBN:9783642029080
eText ISBN:9783642029097
Edition:0
Copyright:2010
Format:Reflowable

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The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.