A multifactor stochastic volatility model of commodity prices

Gonzalo Cortazar, Matias Lopez, Lorenzo Naranjo

Year of publication:	September 2017
Authors:	Cortazar, Gonzalo ; Lopez, Matias ; Naranjo, Lorenzo
Published in:	Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 67.2017, p. 182-201
Subject:	Commodities \| Multifactor models \| Stochastic volatility \| Derivatives \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Derivat \| Derivative \| Rohstoffpreis \| Commodity price \| Optionspreistheorie \| Option pricing theory \| CAPM \| Rohstoffderivat \| Commodity derivative

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