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

From MaRDI portal
Created claim: Wikidata QID (P12): Q58980797, #quickstatements; #temporary_batch_1711504539957
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: American options with stochastic dividends and volatility: a nonparametric investigation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Wishart processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance portfolio selection of cointegrated assets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance asset-liability management: cointegrated assets and insurance liability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance portfolio selection with correlation risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when correlations are stochastic: an analytical framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Behaviour of Commodity Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option valuation with co-integrated asset prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Wishart autoregressive process of multivariate stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Derivative Pricing With Wishart Multivariate Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Fourier Transform Method for Spread Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error Correction and Long-Run Equilibrium in Continuous Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: High-order computational methods for option valuation under multifactor models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forecasting the volatility of crude oil futures using intraday data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing with mean reversion and stochastic volatility / rank
 
Normal rank

Revision as of 15:44, 12 July 2024

scientific article
Language Label Description Also known as
English
Commodity derivatives pricing with cointegration and stochastic covariances
scientific article

    Statements

    Commodity derivatives pricing with cointegration and stochastic covariances (English)
    0 references
    0 references
    0 references
    0 references
    6 October 2016
    0 references
    option pricing
    0 references
    cointegration
    0 references
    stochastic covariance
    0 references
    stochastic convenience yield
    0 references

    Identifiers