A four-factor stochastic volatility model of commodity prices
Year of publication: |
July 2017
|
---|---|
Authors: | Schöne, Max F. ; Spinler, Stefan |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 20.2017, 2, p. 135-165
|
Subject: | Asset pricing | Commodity markets | Commodity derivatives | Derivatives pricing | Asset price process | Commodity risk management | Rohstoffderivat | Commodity derivative | Rohstoffpreis | Commodity price | Rohstoffmarkt | Commodity market | Volatilität | Volatility | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Warenbörse | Commodity exchange | Optionspreistheorie | Option pricing theory | CAPM |
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