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Search: subject:"Barndorff-Nielsen and Shephard stochastic volatility model"
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Barndorff-Nielsen and Shephard stochastic volatility model
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Commodity market
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Commodity markets
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Option pricing theory
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Optionspreistheorie
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Risikoprämie
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Risk premium
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Rohstoffmarkt
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Stochastic process
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Stochastischer Prozess
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Volatility
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affine processes
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change of measure
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forward contracts
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generalized Riccati equations
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risk premium
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Benth, Fred Espen
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Ortiz-Latorre, Salvador
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International journal of theoretical and applied finance
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A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
Benth, Fred Espen
;
Ortiz-Latorre, Salvador
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011403907
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