Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
Fred Espen Benth and Sara Ana Solanilla Blanco
| Year of publication: |
2015
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|---|---|
| Authors: | Benth, Fred Espen ; Blanco, Sara Ana Solanilla |
| 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, 2, p. 1-35
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| Subject: | Forward price | spot-forward relationship | weather markets | energy markets | interest rate theory | Lévy processes | stationary processes | continuous-time autoregressive moving average processes | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Zinsstruktur | Yield curve | Derivat | Derivative | Energiemarkt | Energy market | Rohstoffmarkt | Commodity market |