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On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter
Ewald, Christian-Oliver
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Zhang, Aihua
;
Zong, Zhe
- In:
Application of operations research to financial markets
,
(pp. 119-130)
.
2019
Persistent link: https://www.econbiz.de/10012157367
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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil
Chen, Jilong
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Ewald, Christian
;
Ouyang, Ruolan
; …
- In:
Financial modeling and risk management of energy and …
,
(pp. 29-46)
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2022
Persistent link: https://www.econbiz.de/10013349908
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