Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics
Author:
Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-47417-0_18
Reference19 articles.
1. Ames, M., Bagnarosa, G., Matsui, T., Peters, G.W., Shevchenko, P.V.: Which risk factors drive oil futures price curves? Energy Economics 87, 104676 (2020)
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3. Carr, P., Wu, L.: Time-changed lévy processes and option pricing. Journal of Financial economics 71(1), 113–141 (2004)
4. Cortazar, G., Millard, C., Ortega, H., Schwartz, E.S.: Commodity price forecasts, futures prices, and pricing models. Management Science 65(9), 4141–4155 (2019)
5. Cortazar, G., Naranjo, L.: An n-factor Gaussian model of oil futures prices. Journal of Futures Markets 26(3), 243–268 (2006)
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