Mean reversion

A two-factor mean-reverting model

Commodity markets exhibit multi-factor behaviour as well as mean reversion. Building upon their previous paper, David Beaglehole and Alain Chebanier conclude the current Masterclass series by developing a two-factor mean-reverting model for crude oil…

Mean-reverting smiles

Commodity markets such as crude oil exhibit mean reversion as well as option smiles. The authors construct a model suitable for pricing exotic options in these markets

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