Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
收藏NBER2006-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w12744
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资源简介：
We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in the crude-oil market. We then develop a tractable
提供机构：
美国国家经济研究局
创建时间：
2006-12-01
