BENTH, FRED ESPEN; BLANCO, SARA ANA SOLANILLA - In: International Journal of Theoretical and Applied … 18 (2015) 02, pp. 1550010-1
We show that the forward price can be represented as a functional of the spot price path in the case of Lévy semistationary (LSS) models for the spot dynamics. The functional is a weighted average of the historical spot price in general, and is derived by means of the Laplace transform. For the...