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.

The future gas price for affine jump diffusion / S. Romagnoli; M. Marzo. - STAMPA. - (2005).

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.
2005
1-14
The future gas price for affine jump diffusion / S. Romagnoli; M. Marzo. - STAMPA. - (2005).
S. Romagnoli; M. Marzo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/30655
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