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

DOI10.1016/J.MATCOM.2023.08.009OpenAlexW4385781622MaRDI QIDQ6089610

Idin Noorani, Juho Kanniainen, Farshid Mehrdoust

Publication date: 13 November 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2023.08.009

zbMATH Keywords

greeksparameter estimationregime-switching modelcommodity markets

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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