A multifactor stochastic volatility model of commodity prices
We propose a novel representation of commodity spot prices in which the cost-of-carry and the spot price volatility are both driven by an arbitrary number of risk factors, nesting many existing specifications. The model exhibits unspanned stochastic volatility, provides simple closed-form expression...
| Autores principales: | , , |
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| Formato: | Artículo (Article) |
| Idioma: | Inglés (English) |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | https://repositorio.uc.cl/handle/11534/101308 |