A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
Fred Espen Benth, Carlo Sgarra
| Year of publication: |
2024
|
|---|---|
| Authors: | Benth, Fred Espen ; Sgarra, Carlo |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 4, p. 1035-1076
|
| Subject: | Forward prices | Fourier transform | Leverage | Lévy processes | Ornstein-Uhlenbeck | Positive definite operators | Processes in Hilbert space | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00546-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015130552