Dynamic jump intensities and risk premiums in crude oil futures and options markets
Year of publication: |
October 27, 2016
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Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Li, Bingxin |
Publisher: |
[Toronto] : [University of Toronto - Rotman School of Management] |
Subject: | Crude oil | Futures | Options | Discrete-time models | Jump intensities | Risk premiums | Risikoprämie | Risk premium | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Optionspreistheorie | Option pricing theory | Ölpreis | Oil price | Warenbörse | Commodity exchange |
Extent: | 1 Online-Ressource (circa 38 Seiten) Illustrationen |
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Series: | Rotman School of Management working paper / University of Toronto Rotman School of Management. - Toronto, ZDB-ID 2821585-0. - Vol. no. 2861911 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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