TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

DOI10.1111/mafi.12003zbMath1295.91091arXiv1204.3679OpenAlexW2169891779MaRDI QIDQ5416704

Vadim Linetsky, Lingfei Li

Publication date: 14 May 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3679

zbMATH Keywords

jumpsstochastic volatilityenergy derivativesmean reversiontime changeOrnstein-Uhlenbeckcommodity futurescommodity derivativescommodity optionsBochner subordination

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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