Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
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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
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美国国家经济研究局创建时间：
2006-12-01
