Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework

DOI10.1007/978-3-319-45875-5_20zbMath1367.91174OpenAlexW2558038515MaRDI QIDQ4976513

Fred Espen Benth

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_20

zbMATH Keywords

Fourier transformLévy processescointegrationOrnstein-Uhlenbeck processesspread optionsquanto optionsHeath-Jarrow-Morton modeling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Cointegration in continuous time for factor models ⋮ Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework

Cites Work

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