Commodity derivatives pricing with cointegration and stochastic covariances (Q319797): Difference between revisions

@@ 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/10.1016/j.ejor.2015.05.012
+Normal rank
@@ Property / OpenAlex ID @@
+W1874510373
@@ Property / OpenAlex ID: W1874510373 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q58980797
@@ Property / Wikidata QID: Q58980797 / rank @@
+Normal rank
@@ Property / cites work @@
+American options with stochastic dividends and volatility: a nonparametric investigation
+Normal rank
@@ Property / cites work @@
+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection of cointegrated assets
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management: cointegrated assets and insurance liability
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection with correlation risk
+Normal rank
@@ Property / cites work @@
+Option pricing when correlations are stochastic: an analytical framework
+Normal rank
@@ Property / cites work @@
+On the Behaviour of Commodity Prices
@@ Property / cites work: On the Behaviour of Commodity Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Option valuation with co-integrated asset prices
@@ Property / cites work: Option valuation with co-integrated asset prices / rank @@
+Normal rank
@@ Property / cites work @@
+Co-Integration and Error Correction: Representation, Estimation, and Testing
+Normal rank
@@ Property / cites work @@
+The Wishart autoregressive process of multivariate stochastic volatility
+Normal rank
@@ Property / cites work @@
+Derivative Pricing With Wishart Multivariate Stochastic Volatility
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+A Fourier Transform Method for Spread Option Pricing
+Normal rank
@@ Property / cites work @@
+Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
+Normal rank
@@ Property / cites work @@
+Error Correction and Long-Run Equilibrium in Continuous Time
+Normal rank
@@ Property / cites work @@
+High-order computational methods for option valuation under multifactor models
+Normal rank
@@ Property / cites work @@
+Forecasting the volatility of crude oil futures using intraday data
+Normal rank
@@ Property / cites work @@
+Option pricing with mean reversion and stochastic volatility
+Normal rank
@@ Property / DBLP publication ID @@
+journals/eor/ChiuWZ15
@@ Property / DBLP publication ID: journals/eor/ChiuWZ15 / rank @@
+Normal rank