Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (Q6089610): Difference between revisions

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scientific article; zbMATH DE number 7764066

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English	Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market	scientific article; zbMATH DE number 7764066

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scholarly article

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title

Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (English)

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Mathematics and Computers in Simulation

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publication date

13 November 2023

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zbMATH Keywords

commodity markets

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parameter estimation

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greeks

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regime-switching model

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.matcom.2023.08.009

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cites work

Markov models for commodity futures: theory and practice

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THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS

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Q3521355

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Pricing energy quanto options in the framework of Markov-modulated additive processes

0 references

A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

0 references

Q4137964

0 references

Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem

0 references

Financial Modelling with Jump Processes

0 references

Q4139463

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Filtering with discrete state observations

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Option pricing and Esscher transform under regime switching

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Double barrier option under regime-switching exponential mean-reverting process

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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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Q5293976

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Regime-switching stochastic volatility model: estimation and calibration to VIX options

0 references

Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

0 references

Estimating models based on Markov jump processes given fragmented observation series

0 references

Modelling spikes and pricing swing options in electricity markets

0 references

Analysis of time series subject to changes in regime

0 references

Q4002943

0 references

Dynamic linear models with Markov-switching

0 references

A new tree method for pricing financial derivatives in a regime-switching mean-reverting model

0 references

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

0 references

Stochastic population dynamics under regime switching

0 references

Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model

0 references

Calibration of the double Heston model and an analytical formula in pricing American put option

0 references

Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives

0 references

A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model

0 references

Parameter Estimation for Differential Equations: a Generalized Smoothing Approach

0 references

Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

0 references

Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches

0 references

Feedback regulators for jump parameter systems with state and control dependent transition rates

0 references

A regime switching model for temperature modeling and applications to weather derivatives pricing

0 references

Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type

0 references

Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

0 references

Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets*

0 references

Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.

0 references

Parametric estimation of discretely sampled Gamma-OU processes

0 references

Identifiers

Mathematics Subject Classification ID

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0 references

0 references

0 references

10.1016/J.MATCOM.2023.08.009

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6089610

@@ Property / DOI @@
-.1016/j.matcom.2023.08.009
@@ Property / DOI: 10.1016/j.matcom.2023.08.009 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2023.08.009
+Normal rank
@@ Property / OpenAlex ID @@
+W4385781622
@@ Property / OpenAlex ID: W4385781622 / rank @@
+Normal rank
@@ Property / cites work @@
+Markov models for commodity futures: theory and practice
+Normal rank
@@ Property / cites work @@
+THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
+Normal rank
@@ Property / cites work @@
+Q3521355
@@ Property / cites work: Q3521355 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing energy quanto options in the framework of Markov-modulated additive processes
+Normal rank
@@ Property / cites work @@
+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
+Normal rank
@@ Property / cites work @@
+Q4137964
@@ Property / cites work: Q4137964 / rank @@
+Normal rank
@@ Property / cites work @@
+Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4139463
@@ Property / cites work: Q4139463 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
+Normal rank
@@ Property / cites work @@
+Filtering with discrete state observations
@@ Property / cites work: Filtering with discrete state observations / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Double barrier option under regime-switching exponential mean-reverting process
+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 @@
+Q5293976
@@ Property / cites work: Q5293976 / rank @@
+Normal rank
@@ Property / cites work @@
+Regime-switching stochastic volatility model: estimation and calibration to VIX options
+Normal rank
@@ Property / cites work @@
+Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
+Normal rank
@@ Property / cites work @@
+Estimating models based on Markov jump processes given fragmented observation series
+Normal rank
@@ Property / cites work @@
+Modelling spikes and pricing swing options in electricity markets
+Normal rank
@@ Property / cites work @@
+Analysis of time series subject to changes in regime
+Normal rank
@@ Property / cites work @@
+Q4002943
@@ Property / cites work: Q4002943 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic linear models with Markov-switching
@@ Property / cites work: Dynamic linear models with Markov-switching / rank @@
+Normal rank
@@ Property / cites work @@
+A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+Stochastic population dynamics under regime switching
+Normal rank
@@ Property / cites work @@
+Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
+Normal rank
@@ Property / cites work @@
+Calibration of the double Heston model and an analytical formula in pricing American put option
+Normal rank
@@ Property / cites work @@
+Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
+Normal rank
@@ Property / cites work @@
+A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
+Normal rank
@@ Property / cites work @@
+Parameter Estimation for Differential Equations: a Generalized Smoothing Approach
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
+Normal rank
@@ Property / cites work @@
+Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches
+Normal rank
@@ Property / cites work @@
+Feedback regulators for jump parameter systems with state and control dependent transition rates
+Normal rank
@@ Property / cites work @@
+A regime switching model for temperature modeling and applications to weather derivatives pricing
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
+Normal rank
@@ Property / cites work @@
+Jump and Volatility Dynamics for the S&amp;P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets*
+Normal rank
@@ Property / cites work @@
+Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
+Normal rank
@@ Property / cites work @@
+Parametric estimation of discretely sampled Gamma-OU processes
+Normal rank
@@ Property / DOI @@
+.1016/J.MATCOM.2023.08.009
@@ Property / DOI: 10.1016/J.MATCOM.2023.08.009 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6089610