Humps in the volatility structure of the crude oil futures market : new evidence
Year of publication: |
2013
|
---|---|
Authors: | Chiarella, Carl ; Kang, Boda ; Nikitopoulos, Christina Sklibosios ; Tô, Thuy-Duong |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 40.2013, p. 989-1000
|
Subject: | Commodity derivatives | Crude oil derivatives | Unspanned stochastic volatility | Hump-shaped volatility | Pricing | Hedging | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Derivat | Derivative | Erdöl | Petroleum | Ölpreis | Oil price | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
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