A multi-factor jump-diffusion model for commodities†
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Publication:3498564
DOI10.1080/14697680701253021zbMath1134.91018OpenAlexW1980483884MaRDI QIDQ3498564
Publication date: 15 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22101
Related Items (8)
Multi-layer model of correlated energy prices ⋮ TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS ⋮ News, volatility and jumps: the case of natural gas futures ⋮ Pricing a class of exotic commodity options in a multi-factor jump-diffusion model ⋮ Markov models for commodity futures: theory and practice ⋮ METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS ⋮ The Risk Premium and the Esscher Transform in Power Markets ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW
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