Asymptotic exponential arbitrage in the Schwartz commodity futures model

DOI10.1155/2019/9450435zbMath1487.91142OpenAlexW2922008556WikidataQ115521778 ScholiaQ115521778MaRDI QIDQ2330297

Tesfamariam Tadesse Welemical, Jane A. Aduda, Martin L. D. Mbele Bidima

Publication date: 28 October 2019

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/9450435

zbMATH Keywords

Ornstein-Uhlenbeck processstorable commodity

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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