Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (Q2450704): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.orl.2013.06.010 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2058270722 / rank | |||
Normal rank | |||
Revision as of 00:30, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models |
scientific article |
Statements
Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (English)
0 references
15 May 2014
0 references
commodity derivatives
0 references
additive processes
0 references
time change
0 references
Ornstein-Uhlenbeck
0 references
time-dependent and mean-reverting jumps
0 references
eigenfunction expansions
0 references
