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- W2238561649 abstract "Some commodity prices, like oil and gas, exhibit the mean reversion, unlike stock price. It means that they tend over time to return to some long-term mean. In this paper we consider a risky asset St following the mean-reverting stochastic process. The aim of this paper is to obtain an explicit expression for a European option price based on St; using a change of time method. A numerical example for the AECO Natural Gas Index (1 May 1998-30 April 1999) is presented. 2000 Mathematics Subject Classications . 60H10, 91B28" @default.
- W2238561649 created "2016-06-24" @default.
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- W2238561649 date "2008-05-22" @default.
- W2238561649 modified "2023-09-24" @default.
- W2238561649 title "EXPLICIT OPTION PRICING FORMULA FOR A MEAN-REVERTING ASSET IN ENERGY MARKET" @default.
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