Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
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Publication:2450704
DOI10.1016/j.orl.2013.06.010zbMath1286.91137MaRDI QIDQ2450704
Lingfei Li, Rafael Mendoza-Arriaga
Publication date: 15 May 2014
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2013.06.010
additive processes; eigenfunction expansions; time change; Ornstein-Uhlenbeck; commodity derivatives; time-dependent and mean-reverting jumps
60J60: Diffusion processes
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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