Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods (Q2165386): Difference between revisions

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scientific article

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English	Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods	scientific article

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scholarly article

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title

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods (English)

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Review of Derivatives Research

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publication date

19 August 2022

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zbMATH Keywords

commodity-linked bonds

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convenience yield

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credit risk

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pricing

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Mellin transform

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11147-021-09181-9

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cites work

The Pricing of Options and Corporate Liabilities

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Q4035100

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Q5827353

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On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter

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Valuation of commodity derivatives with an unobservable convenience yield

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Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms

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Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension

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Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield

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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

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Q4905685

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The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk

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Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

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Option pricing with Mellin transforms

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A four-factor stochastic volatility model of commodity prices

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Q5647412

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An equilibrium characterization of the term structure

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Valuation of commodity derivatives in a new multi-factor model

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The pricing of vulnerable options with double Mellin transforms

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Identifiers

zbMATH Open document ID

1495.91122

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DOI

10.1007/s11147-021-09181-9

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2165386

@@ Property / author @@
-Chao-Qun Ma
@@ Property / author: Chao-Qun Ma / rank @@
-Normal rank
@@ Property / author @@
-ZhiJian Wu
@@ Property / author: ZhiJian Wu / rank @@
-Normal rank
@@ Property / author @@
+Chao-Qun Ma
@@ Property / author: Chao-Qun Ma / rank @@
+Normal rank
@@ Property / author @@
+ZhiJian Wu
@@ Property / author: ZhiJian Wu / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11147-021-09181-9
+Normal rank
@@ Property / OpenAlex ID @@
+W3186643377
@@ Property / OpenAlex ID: W3186643377 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4035100
@@ Property / cites work: Q4035100 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5827353
@@ Property / cites work: Q5827353 / rank @@
+Normal rank
@@ Property / cites work @@
+On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter
+Normal rank
@@ Property / cites work @@
+Valuation of commodity derivatives with an unobservable convenience yield
+Normal rank
@@ Property / cites work @@
+Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
+Normal rank
@@ Property / cites work @@
+Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension
+Normal rank
@@ Property / cites work @@
+Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
+Normal rank
@@ Property / cites work @@
+Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
+Normal rank
@@ Property / cites work @@
+Option pricing with Mellin transforms
@@ Property / cites work: Option pricing with Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+A four-factor stochastic volatility model of commodity prices
+Normal rank
@@ Property / cites work @@
+Q5647412
@@ Property / cites work: Q5647412 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Valuation of commodity derivatives in a new multi-factor model
+Normal rank
@@ Property / cites work @@
+The pricing of vulnerable options with double Mellin transforms
+Normal rank