Estimating and pricing commodity futures with time-delay stochastic processes

DOI10.1002/MMA.9115MaRDI QIDQ6947985zbMATH OpenFDO

Authors L. Gómez-Valle, J. Martínez-Rodríguez

Publication date 5 August 2025

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1002/MMA.9115

zbMATH Keywords

commodity futures pricesdelay stochastic processesderivative securitiesnonparametric estimationPDEs with randomness

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

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Cited in

(3)

• Commodity options pricing under Wishart stochastic volatility model equipped with jump process: model calibration by an optimized neural network
• Valuation of commodity option prices under a regime-switching model with stochastic convenience yield: model calibration using flower pollination optimization algorithm
• Option pricing in a stochastic delay volatility model

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