Stochastic Models of Crude Oil Prices and Their Applications on Option Pricing

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Stochastic Models of Crude Oil Prices and Their Applications on Option Pricing

For decades, geometric Brownian motion has proved a great success in describing the price process, because it catches the stochastic character of the price process. However, when it comes to commodity prices, there are several additional features. Mean reverting and jump diffusion phenomenon is two...

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Bibliographic Details
Main Author:	Cao, Hang
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2015
Online Access:	https://eprints.nottingham.ac.uk/30047/

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