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

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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