Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets

E-ISSN： 1475-6064|45|2|545-571

ISSN： 0001-8678

Source： Advances in Applied Probability, Vol.45, Iss.2, 2013-06, pp. : 545-571

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

Advances in Applied Probability, Vol. 45, Iss. 2, 2013-06 ,pp. : 572-594

Cambridge University Press

Access to resources Recommend Favorite

Filtering of a Multi-Dimension Stochastic Volatility Model

By Luo Shangzhen

Stochastic Analysis and Applications, Vol. 29, Iss. 3, 2011-05 ,pp. : 407-423

Taylor & Francis Ltd

Access to resources Recommend Favorite

Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

By Achdou Yves Tchou Nicoletta

ESAIM: Mathematical Modelling and Numerical Analysis, Vol. 36, Iss. 3, 2010-03 ,pp. : 373-395

Edp Sciences

Access to resources Recommend Favorite

On Optimal Cash Management under a Stochastic Volatility Model

East Asian Journal on Applied Mathematics, Vol. 3, Iss. 2, 2013-05 ,pp. : 81-92

Cambridge University Press

Access to resources Recommend Favorite

Operator splitting methods for pricing American options under stochastic volatility

By Ikonen Samuli

Numerische Mathematik, Vol. 113, Iss. 2, 2009-08 ,pp. : 299-324

Springer Publishing Company

Access to resources Recommend Favorite