Pricing a class of exotic commodity options in a multi-factor jump-diffusion model

DOI10.1080/14697680701545707MaRDI QIDQ3605222zbMATH OpenOpenAlexFDO

Authors John Crosby

Publication date 23 February 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.ssoar.info/ssoar/handle/document/22110

zbMATH Keywords

commodity derivativescommodity optionscommodity pricescontinuous time financejump-diffusionoption pricingpricing of derivatives

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multi-factor jump-diffusion model for commodities†
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Option and Futures Evaluation With Deterministic Volatilities¹
• Pricing inflation-indexed derivatives
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(11)

• Valuation of commodity derivatives in a new multi-factor model
• Algorithm of calculation of combined commodity options value
• Exotic put options at the diffusion bond market
• Swing options in commodity markets: a multidimensional Lévy diffusion model
• Markov models for commodity futures: theory and practice
• Additive subordination and its applications in finance
• A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
• A multi-factor jump-diffusion model for commodities†
• Pricing renewable identification numbers under uncertainty
• Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
• Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets

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