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- W2589713057 abstract "For a commodity spot price dynamics given by an Ornstein–Uhlenbeck process with Barndorff-Nielsen–Shephard stochastic volatility, we price forward contracts using a new class of pricing measures, extending the classical Esscher transform, that simultaneously allow for change of level and speed in the mean reversion of both the price and the volatility." @default.
- W2589713057 created "2017-03-03" @default.
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- W2589713057 date "2017-01-01" @default.
- W2589713057 modified "2023-10-16" @default.
- W2589713057 title "A New Pricing Measure in the Barndorff-Nielsen–Shephard Model for Commodity Markets" @default.
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- W2589713057 doi "https://doi.org/10.1007/978-3-319-51753-7_22" @default.
- W2589713057 hasPublicationYear "2017" @default.
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