Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

DOI10.1080/13504860802170432MaRDI QIDQ3617304zbMATH OpenOpenAlexFDO

Authors Samuel Hikspoors, Sebastian Jaimungal

Publication date 23 March 2009

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860802170432

zbMATH Keywords

commodity derivativessingular perturbation methodsspread optionsstochastic volatility

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Singular Perturbations in Option Pricing
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(25)

• Valuation of commodity derivatives in a new multi-factor model
• A four-factor stochastic volatility model of commodity prices
• Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
• Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
• Stochastic volatility and dependency in energy markets: multi-factor modelling
• Strategic investment decisions under fast mean-reversion stochastic volatility
• Commodity price dynamics and derivative valuation: a review
• Multiscale stochastic volatility model for derivatives on futures
• Ambit processes, their volatility determination and their applications
• The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
• Modelling electricity futures by ambit fields
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Model uncertainty in commodity markets
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Representation of infinite-dimensional forward price models in commodity markets
• Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
• Implied volatility of leveraged ETF options
• A discrete time approach for modeling two-factor mean-reverting stochastic processes
• Optimal trading with signals and stochastic price impact
• Pricing commodity index options
• An insurance risk model with stochastic volatility
• Valuation of commodity option prices under a regime-switching model with stochastic convenience yield: model calibration using flower pollination optimization algorithm
• A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility
• A multi-factor model for improved commodity pricing: calibration and an application to the oil market

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