Modelling conversion options with a mean reversion motion
Commodity prices are generally better modeled by a long-term Mean Reverting Process, than by a Geometric Brownian Motion stochastic diffusion process, which is more generally used to value real options, since it is simpler to use. In this article we model two correlated uncertain variables using a m...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2007-12-01
|
| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1169 |