Valuation of commodity derivatives with an unobservable convenience yield (Q342244): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3123468798 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4035100 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3160497 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust investment decisions under supply disruption in petroleum markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Term Structure of Interest Rates: Bounded or Falling? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theory of storage and the pricing of commodity claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of commodity derivatives in a new multi-factor model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing with mean reversion and stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Seasonal and stochastic effects in commodity forward curves / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interest rate options valuation under incomplete information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Commodity price modelling that matches current observables: a new approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Energy futures prices: term structure models with Kalman filter estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Interest-Rate-Derivative Securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Incomplete information equilibria: separation theorems and other myths / rank
 
Normal rank
Property / cites work
 
Property / cites work: Algorithmic estimation of risk factors in financial markets with stochastic drift / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4522393 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option and Futures Evaluation With Deterministic Volatilities<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: The valuation of multidimensional American real options using the LSM simulation method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Intertemporal asset pricing with heterogeneous beliefs / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank

Latest revision as of 23:58, 12 July 2024

scientific article
Language Label Description Also known as
English
Valuation of commodity derivatives with an unobservable convenience yield
scientific article

    Statements

    Valuation of commodity derivatives with an unobservable convenience yield (English)
    0 references
    0 references
    0 references
    17 November 2016
    0 references
    commodity spot prices
    0 references
    futures prices
    0 references
    option prices
    0 references
    convenience yield
    0 references
    interest rates
    0 references
    incomplete information
    0 references
    unobservable variables
    0 references
    0 references
    0 references
    0 references

    Identifiers