Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Lingfei Li; Vadim Linetsky
| Year of publication: |
2014
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|---|---|
| Authors: | Li, Lingfei ; Linetsky, Vadim |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 2, p. 289-330
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| Subject: | commodity derivatives | Ornstein-Uhlenbeck | time change | Bochner subordination | mean reversion | jumps | stochastic volatility | commodity futures | commodity options | energy derivatives | Rohstoffderivat | Commodity derivative | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Mean Reversion | Mean reversion | Energiemarkt | Energy market | Warenbörse | Commodity exchange | Hedging |
| 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/10010357373