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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil.
Jilong Chen
Christian-Oliver Ewald
Ruolan Ouyang
Sjur Westgaard
Xiaoxia Xiao
Published in:
Ann. Oper. Res. (2022)
Keyphrases
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crude oil
financial markets
black scholes
risk management
stock price
early warning
financial crisis
machine learning
computer vision
fuzzy logic
optimization algorithm
stock market
machine vision
investment strategies
stock returns
stock index futures