A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
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Publication:6619588
DOI10.1007/s00780-024-00546-0MaRDI QIDQ6619588
Carlo Sgarra, Fred Espen Benth
Publication date: 16 October 2024
Published in: Finance and Stochastics (Search for Journal in Brave)
Fourier transformLévy processesstochastic volatilityleverageOrnstein-Uhlenbeckforward pricespositive definite operatorsprocesses in Hilbert space
Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)
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