Commodity Forward Curves with Stochastic Time Change

ABSTRACT. Using a powerful technique of stochastic time change, we introduce a new two factor commodity price model, where one of the fundamental factors is the activity rate of the stochastic clock. This factor implicitly introduces stochastic volatility into the model. The model is developed under both physical and risk neutral probability measures, which allows for a wide range of applications ranging from derivatives pricing to risk management

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Year of publication:	[2023]
Authors:	Borovkova, Svetlana ; Ladokhin, Sergiy ; Schmeck, Maren Diane
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Rohstoffderivat \| Commodity derivative

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Extent:	1 Online-Ressource (32 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4523892 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014346091