Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets (Q2837760): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: THE CARMA INTEREST RATE MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5420974 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate subordination, self-decomposability and stability / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3521355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794153 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3342799 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Matrix Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Fourier Transform Method for Spread Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3959169 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996259 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4220653 / rank
 
Normal rank

Revision as of 14:45, 6 July 2024

scientific article
Language Label Description Also known as
English
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
scientific article

    Statements

    Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets (English)
    0 references
    11 July 2013
    0 references
    energy market
    0 references
    forward pricing
    0 references
    spread option
    0 references
    subordinator
    0 references
    stochastic volatility
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references