TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704)

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scientific article; zbMATH DE number 6295266
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TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
scientific article; zbMATH DE number 6295266

    Statements

    TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (English)
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    14 May 2014
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    commodity derivatives
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    Ornstein-Uhlenbeck
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    time change
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    Bochner subordination
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    mean reversion
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    jumps
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    stochastic volatility
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    commodity futures
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    commodity options
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    energy derivatives
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