Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (Q4976513)
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scientific article; zbMATH DE number 6754933
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework |
scientific article; zbMATH DE number 6754933 |
Statements
Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (English)
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31 July 2017
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cointegration
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Heath-Jarrow-Morton modeling
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Ornstein-Uhlenbeck processes
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Lévy processes
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Fourier transform
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spread options
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quanto options
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