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Mathematical finance / Economy / Applied mathematics / Finance / Volatility / Stochastic volatility / OrnsteinUhlenbeck process / Benchmark / CoxIngersollRoss model / International Petroleum Exchange / Volatility smile / Implied volatility


A Hidden Markov Stochastic Volatility Model for Energy Prices Robert J. Elliott∗ Tao Lin† Hong Miao‡ To describe the complex behavior of energy prices, we propose a stochastic volatility model, where
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Document Date: 2007-03-27 13:47:21


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File Size: 524,25 KB

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