A four-factor stochastic volatility model of commodity prices (Q1621624): Difference between revisions

@@ Property / cites work @@
+Q4035100
@@ Property / cites work: Q4035100 / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+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 @@
+ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
+Normal rank
@@ Property / cites work @@
+Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
+Normal rank
@@ Property / cites work @@
+Pricing of derivatives on mean-reverting assets
@@ Property / cites work: Pricing of derivatives on mean-reverting assets / rank @@
+Normal rank
@@ Property / cites work @@
+Theory of storage and the pricing of commodity claims
+Normal rank
@@ Property / cites work @@
+Real Options Valuation
@@ Property / cites work: Real Options Valuation / rank @@
+Normal rank
@@ Property / cites work @@
+Time-varying long-run mean of commodity prices and the modeling of futures term structures
+Normal rank
@@ Property / cites work @@
+Optimal Control and Equilibrium Behavior of Production-Inventory Systems
+Normal rank
@@ Property / cites work @@
+Valuation of commodity derivatives in a new multi-factor model
+Normal rank