The affine styled-facts price dynamics for the natural gas : evidence from daily returns and option prices
Chih-Chen Hsu, An-Sing Chen, Shih-Kuei Lin
| Year of publication: |
April 2017
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| Authors: | Hsu, Chih-Chen ; Chen, An-sing ; Lin, Shih-kuei |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 48.2017, 3, p. 819-848
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| Subject: | Affine styled-facts price dynamics | Mean reversion | Seasonality | Jump risk | Natural gas options | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Erdgas | Natural gas | Kapitaleinkommen | Capital income | Mean Reversion | Gaswirtschaft | Gas industry | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-016-0569-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011796892