Markov models for commodity futures: theory and practice
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Publication:3063849
DOI10.1080/14697680903493599zbMath1202.91309MaRDI QIDQ3063849
Publication date: 15 December 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903493599
91G70: Statistical methods; risk measures
60J25: Continuous-time Markov processes on general state spaces
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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- Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
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- Robust numerical methods for contingent claims under jump diffusion processes
- The Term Structure of Simple Forward Rates with Jump Risk
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES