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(Research report / Forskningsrapport, 2003)
We derive arbitrage-free pricing dynamics for claims on temperature, where the temperature follows a fractional Ornstein-Uhlenbeck process. Using a fractional white noise calculus, we can express the dynamics as a special ...
(Research report / Forskningsrapport, 2003)
Under general conditions stated in Rheinländer 30], we prove that in a stochastic volatility market the Radon-Nikodym density of the minimal entropy martingale measure can be expressed in terms of the solution of a semilinear ...
(Research report / Forskningsrapport, 2003)
We model spot prices in energy markets with exponential non-Gaussian Ornstein-Uhlenbeck processes. We generalize the classical geometric Brownian motion and Schwartz' mean-reversion model by introducing Lévy processes as ...