Commodity price modelling that matches current observables: a new approach

DOI10.1080/713666159zbMath1405.91645OpenAlexW2157965176MaRDI QIDQ4647240

Kristian R. Miltersen

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713666159

zbMATH Keywords

stochastic modelcommodity priceterm structure of forward and futures volatilities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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