Commodity derivatives pricing with cointegration and stochastic covariances.

Mei Choi Chiu Hoi Ying Wong Jing Zhao

Published in: Eur. J. Oper. Res. (2015)

Keyphrases

flow network
higher order
covariance matrix
monte carlo
stochastic model
data sets
estimation algorithm
bayesian networks
hidden markov models
stochastic processes
stochastic process
stochastic optimization
stochastic programming
single commodity