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

MaRDI publication profile

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

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

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

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Financial Modelling with Jump Processes

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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

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

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Estimating models based on Markov jump processes given fragmented observation series

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Modelling spikes and pricing swing options in electricity markets

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Analysis of time series subject to changes in regime

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Q4002943

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Dynamic linear models with Markov-switching

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

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

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Stochastic population dynamics under regime switching

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

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

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Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives

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

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Parameter Estimation for Differential Equations: a Generalized Smoothing Approach

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

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Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches

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

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

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Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type

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

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

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

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Parametric estimation of discretely sampled Gamma-OU processes

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.MATCOM.2023.08.009

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Sitelinks

Mathematics(1 entry)

mardi Publication:6089610

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