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Commodity Option Pricing: A Practitioner's Guide by Iain J. Clark

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Notation

– expectation

– variance

– domestic interest rate (assumed constant)

– domestic short rate at time t

– domestic discount factor from time t1 to time t2

– foreign discount factor from time t1 to time t2

St

– spot price at time t

Ft,T

– forward price, quoted at time t, for delivery at time T

ft,T

– futures contract price, quoted at time t, for delivery at time T

P

– real-world measure

Wt

– Brownian motion with respect to P

Pd

– (domestic) risk-neutral measure

Pd;T

– (domestic) T-maturity forward measure

– expectation with respect to the (domestic) risk-neutral measure

– expectation with respect to the T-maturity forward measure

– variance with respect to the (domestic) risk-neutral ...

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