TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704)
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scientific article; zbMATH DE number 6295266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS |
scientific article; zbMATH DE number 6295266 |
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TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (English)
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14 May 2014
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commodity derivatives
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Ornstein-Uhlenbeck
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time change
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Bochner subordination
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mean reversion
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jumps
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stochastic volatility
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commodity futures
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commodity options
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energy derivatives
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