Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
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Publication:2837760
DOI10.1239/aap/1370870130zbMath1269.91083OpenAlexW2012330573MaRDI QIDQ2837760
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Publication date: 11 July 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1370870130
Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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