Humps in the Volatility Structure of the Crude Oil Futures Market
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More about this item
Keywordscommodity derivatives; crude oil derivatives; Unspanned stochastic volatility; hump-shaped volatility; pricing; hedging;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-03 (All new papers)
- NEP-BEC-2012-09-03 (Business Economics)
- NEP-CWA-2012-09-03 (Central & Western Asia)
- NEP-ENE-2012-09-03 (Energy Economics)
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