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Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei, Mendoza-Arriaga, RafaelVolume:
41
Language:
english
Journal:
Operations Research Letters
DOI:
10.1016/j.orl.2013.06.010
Date:
September, 2013
File:
PDF, 498 KB
english, 2013