Lévy-Based Cross-Commodity Models and Derivative Valuation (Q5388672)

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scientific article; zbMATH DE number 6025770
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Lévy-Based Cross-Commodity Models and Derivative Valuation
scientific article; zbMATH DE number 6025770

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    Lévy-Based Cross-Commodity Models and Derivative Valuation (English)
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    19 April 2012
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    commodities
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    Lévy processes
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    cointegration
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    Fourier transform methods
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