A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models (Q313647)
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scientific article; zbMATH DE number 6626260
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| English | A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models |
scientific article; zbMATH DE number 6626260 |
Statements
A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models (English)
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12 September 2016
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commodity futures
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jump-diffusion stochastic processes
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risk-neutral measure
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numerical differentiation
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nonparametric estimation
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0.87730515
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0.87529635
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0.87240344
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0.8651319
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0.8553906
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0.8543193
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0.85165596
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0.85102695
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