Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models

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

zbMATH Keywords

additive processes; eigenfunction expansions; time change; Ornstein-Uhlenbeck; commodity derivatives; time-dependent and mean-reverting jumps

Mathematics Subject Classification ID

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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