A multifactor stochastic volatility model of commodity prices
Year of publication: |
September 2017
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Authors: | Cortazar, Gonzalo ; Lopez, Matias ; Naranjo, Lorenzo |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 67.2017, p. 182-201
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Subject: | Commodities | Multifactor models | Stochastic volatility | Derivatives | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Rohstoffpreis | Commodity price | Derivat | Derivative | Theorie | Theory | Rohstoffderivat | Commodity derivative |
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