THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS

DOI10.1111/j.1467-9965.2010.00445.xzbMath1247.91178OpenAlexW1576772981MaRDI QIDQ3100748

Fred Espen Benth

Publication date: 21 November 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00445.x

zbMATH Keywords

stochastic volatilityHeston modelsubordinatorscommodity marketsUhlenbeck processOrnstein

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Processes of normal inverse Gaussian type
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options