| ID | 313746 |
| Title Proper | Subordinated levy processes and applications to crude oil options |
| Language | ENG |
| Author | Krichene, Noureddine |
| `In' analytical Note | In Kumah, Francis Y. & Matovu, John M. : Commodity price shocks and the odds on fiscal performance : A structural VAR approach. Washington. IMF, 2005.--(IMFWP/05/171) |
| Journal Source | In Kumah, Francis Y. & Matovu, John M. : Commodity price shocks and the odds on fiscal performance : A structural VAR approach. Washington. IMF, 2005.--(IMFWP/05/171)
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| Classification Number | IMF |
| Key Words | Option pricing ; Volatility ; Inverse problem ; Characteristic functions ; Esscher transform ; Fourier transform ; Levy processes ; Risk-neural density |