Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil.
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| Title: | Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. |
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| Authors: | Chen, Jilong1, Ewald, Christian2,3, Ouyang, Ruolan4, ruolanoy@outlook.com, Westgaard, Sjur5, Xiao, Xiaoxia4 |
| Source: | Annals of Operations Research; Jun2022, Vol. 313 Issue 1, p29-46, 18p |
| Database: | Applied Science & Technology Source |
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