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Stochastic Modeling of Energy Commodity Spot Price Processes with Delay in Volatility

Research output: Contribution to journalArticlepeer-review

Original languageAmerican English
JournalMathematics Faculty Research
StatePublished - May 1 2014

Keywords

  • Delayed Volatility
  • Stochastic Interconnected Model
  • GARCH model
  • Non-seasonal Log-Spot Price Process Dynamic
  • Risk-Neutral Model
  • Oscillatory
  • Non-Oscillatory

Disciplines

  • Dynamical Systems
  • Mathematics
  • Physical Sciences and Mathematics

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