A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
Fred Espen Benth and Salvador Ortiz-Latorre
| Year of publication: |
2015
|
|---|---|
| Authors: | Benth, Fred Espen ; Ortiz-Latorre, Salvador |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 6, p. 1-40
|
| Subject: | Commodity markets | Barndorff-Nielsen and Shephard stochastic volatility model | change of measure | forward contracts | risk premium | generalized Riccati equations | affine processes | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Rohstoffmarkt | Commodity market | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403907