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~isPartOf:"SpringerLink / Bücher"
~isPartOf:"The journal of futures markets"
~subject:"Financial analysis"
~subject:"Stochastisches Modell"
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Search: subject_exact:"Mean-reverting process"
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The journal of futures markets
Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung
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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn
-
2010
Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion
Persistent link: https://www.econbiz.de/10013522771
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A two-mean reverting-factor model of the term structure of interest rates
Moreno, Manuel
- In:
The journal of futures markets
23
(
2003
)
11
,
pp. 1075-1105
Persistent link: https://www.econbiz.de/10001795040
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