Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks

DOI10.1016/j.matcom.2023.12.020OpenAlexW4390100346MaRDI QIDQ6129423

Xin-Jiang He, Zhihao Hu, Ben-Zhang Yang, Jia Yue

Publication date: 17 April 2024

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2023.12.020

zbMATH Keywords

stochastic volatilitynonlinear dynamicsjump riskstochastic convenience yieldcrude oilequilibrium option pricing

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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