Zobrazeno 1 - 2
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pro vyhledávání: '"Sergiy Ladokhin"'
Autor:
Sergiy Ladokhin, Svetlana Borovkova
Publikováno v:
Energy Economics, 101:105418, 1-15. Elsevier
Ladokhin, S & Borovkova, S 2021, ' Three-factor commodity forward curve model and its joint P and Q dynamics ', Energy Economics, vol. 101, 105418, pp. 1-15 . https://doi.org/10.1016/j.eneco.2021.105418
Ladokhin, S & Borovkova, S 2021, ' Three-factor commodity forward curve model and its joint P and Q dynamics ', Energy Economics, vol. 101, 105418, pp. 1-15 . https://doi.org/10.1016/j.eneco.2021.105418
In this paper, we propose a new framework for modeling commodity forward curves. The proposed model describes the dynamics of fundamental driving factors simultaneously under physical ( P ) and risk-neutral ( Q ) probability measures. Our model is an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0b8c6f3f8715d98ad1a2d66eb3c9d3a
http://www.scopus.com/inward/record.url?scp=85109210629&partnerID=8YFLogxK
http://www.scopus.com/inward/record.url?scp=85109210629&partnerID=8YFLogxK
Publikováno v:
SSRN Electronic Journal.
Using powerful technique of stochastic time change, we introduce a new two-factor commodity price model, where one of the fundamental factors is the activity rate. This factor implicitly introduces stochastic volatility into the model. The model is d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2531a0789fa1aacc4689d05286eb6054
https://doi.org/10.2139/ssrn.3871680
https://doi.org/10.2139/ssrn.3871680