COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW
From MaRDI portal
Publication:2862510
DOI10.1142/S0219024913500325zbMath1279.91070OpenAlexW3124298488MaRDI QIDQ2862510
Publication date: 15 November 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024913500325
seasonalitycommodity pricesmean reversionconvenience yieldSamuelson effectreview articletheory of storagecommodity derivatives
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Cointegration in continuous time for factor models, The Impact of Cointegration on Commodity Spread Options, On the seasonality in the implied volatility of electricity options
Cites Work
- Unnamed Item
- Theory of storage and the pricing of commodity claims
- The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets
- Modelling jumps in electricity prices: theory and empirical evidence
- Convenience yields
- Valuation of commodity derivatives in a new multi-factor model
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Seasonal and stochastic effects in commodity forward curves
- Time-varying long-run mean of commodity prices and the modeling of futures term structures
- Hedging Pressure and Futures Price Movements in a General Equilibrium Model
- On the Behaviour of Commodity Prices
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Modelling Electricity Prices with Forward Looking Capacity Constraints
- A multi-factor jump-diffusion model for commodities†
- Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- Inventory and Price Behaviour
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- Energy futures prices: term structure models with Kalman filter estimation
- A Simple Competitive Model with Production and Storage
- A note on arbitrage‐free pricing of forward contracts in energy markets
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- The dynamics of commodity prices