Browsing Matematisk institutt by Author "Levin, Simon A."
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Benth, Fred Espen; Eikeset, Anne Maria; Levin, Simon A.; Ren, Wanjuan (Journal article / Tidsskriftartikkel / SubmittedVersion, 2021)We analyse forward prices observed at the Fishpool market, and propose a two-factor continuous-time stochastic process for modelling the time dynamics. The data analysis reveals that the two factors can be assumed to be a ...