Subordinated Levy Processes and Applications to Crude Oil Options

Preprint OPEN
Noureddine Krichene;
(2005)
  • Subject: Other, [Option pricing;Characteristic functions, Esscher transform, Fourier transform, Inverse problem, Levy processes, Risk-neutral density, Volatility, crude oil, martingale, probability, oil prices, characteristic function, Computational Techniques, Energy]
    mesheuropmc: health care economics and organizations

One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumptio... View more
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