In this paper we consider the market of gas where we suppose that the price of petrol follows a mixed diffusion and, following the transform method proposed by Duffie, Pan and Singleton (1999) we determine the future gas price as a derivative product of the actual spot price of gas, the price of petrol, the convenience yield, the stochastic volatility and the stochastic interest rate, in a complete market.
S. Romagnoli, M. Marzo (2005). The future gas price for affine jump diffusion. BOLOGNA : Quaderni di Dipartimento, Matemates.
The future gas price for affine jump diffusion
ROMAGNOLI, SILVIA;MARZO, MASSIMILIANO
2005
Abstract
In this paper we consider the market of gas where we suppose that the price of petrol follows a mixed diffusion and, following the transform method proposed by Duffie, Pan and Singleton (1999) we determine the future gas price as a derivative product of the actual spot price of gas, the price of petrol, the convenience yield, the stochastic volatility and the stochastic interest rate, in a complete market.File in questo prodotto:
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