Now showing items 1-1 of 1

    • Pricing option on commodity futures under string shock 

      Bisht, Deepak; Laha, Arnab Kumar (Indian Institute of Management Ahmedabad, 2017-07-26)
      Forward curve movements, particularly of industrial and energy commodities, suggests that futures price do not move in tandem with the spot price, and not all futures contracts move in the same direction. We incorporate ...