An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Algebra and Number Theory,Analysis
Link
http://link.springer.com/content/pdf/10.1186/s13662-017-1234-y.pdf
Reference12 articles.
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3. Tome, WG, Peterson, HH: Risk management in agricultural market: a review. J. Futures Mark. 21(10), 953-985 (2001)
4. Routledge, BR, Seppi, DJ, Spatt, CS: Equilibrium forward curves for commodities. J. Finance 55(3), 1297-1338 (2000)
5. Uhlenbeck, GE, Ornstein, LS: On the theory of the Brownian motion. Phys. Rev. 36, 823-841 (1930)
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