Modelling the Chinese crude oil futures returns through a skew‐geometric Brownian motion correlated with the market volatility index process for pricing financial options.
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| Title: | Modelling the Chinese crude oil futures returns through a skew‐geometric Brownian motion correlated with the market volatility index process for pricing financial options. |
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| Authors: | Bufalo, Michele1 (AUTHOR) michele.bufalo@uniba.it, Fanelli, Viviana2 (AUTHOR) |
| Source: | Applied Stochastic Models in Business & Industry. Sep2024, Vol. 40 Issue 5, p1377-1401. 25p. |
| Database: | Mathematics Source |
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| ISSN: | 15241904 |
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| DOI: | 10.1002/asmb.2882 |
