A multiplicative seasonal component in commodity derivative pricing
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Publication:1676014
DOI10.1016/j.cam.2017.05.014zbMath1415.91283OpenAlexW2619002677MaRDI QIDQ1676014
L. Gómez-Valle, Z. Habibilashkary, J. Martínez-Rodríguez
Publication date: 3 November 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.05.014
seasonalitynumerical differentiationnonparametric estimationrisk premiumjump-diffusion stochastic processesrisk-neutral measure
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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