Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework (Q4976513)
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scientific article; zbMATH DE number 6754933
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| English | Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework |
scientific article; zbMATH DE number 6754933 |
Statements
Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (English)
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31 July 2017
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cointegration
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Heath-Jarrow-Morton modeling
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Ornstein-Uhlenbeck processes
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Lévy processes
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Fourier transform
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spread options
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quanto options
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0.85675448179245
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0.8288674354553223
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0.8228646516799927
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0.8065354228019714
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0.7588694095611572
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