Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models-Reference-Cited by-同舟云学术

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Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models

Published:2013-09 Issue:5 Volume:41 Page:521-525
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Li Lingfei,Mendoza-Arriaga Rafael

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference13 articles.

1. Stochastic volatility for Lévy processes;Carr;Mathematical Finance,2003

2. Self-decomposibility and option pricing;Carr;Mathematical Finance,2007

3. Pricing options on scalar diffusions: an eigenfunction expansion approach;Davydov;Operations Research,2003

4. Limit Theorems for Stochastic Processes;Jacod,2003

5. Special Functions and their Applications;Lebedev,1972

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3. Long-term swings and seasonality in energy markets;European Journal of Operational Research;2019-12

4. Equivalent measure changes for subordinate diffusions;Stochastic Models;2019-04-29

5. A general framework for time-changed Markov processes and applications;European Journal of Operational Research;2019-03

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