Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
From MaRDI portal
Publication:2450704
DOI10.1016/j.orl.2013.06.010zbMath1286.91137OpenAlexW2058270722MaRDI QIDQ2450704
Lingfei Li, Rafael Mendoza-Arriaga
Publication date: 15 May 2014
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2013.06.010
additive processeseigenfunction expansionstime changeOrnstein-Uhlenbeckcommodity derivativestime-dependent and mean-reverting jumps
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items
A general framework for time-changed Markov processes and applications, Additive subordination and its applications in finance, Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach, An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance, Forward or backward simulation? A comparative study, Option Pricing in Some Non-Lévy Jump Models, MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS, Long-term swings and seasonality in energy markets, Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk, Equivalent measure changes for subordinate diffusions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the generation of semigroups of linear operators
- Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- Stochastic Volatility for Lévy Processes
- On additive time-changes of Feller processes