A four-factor stochastic volatility model of commodity prices

DOI10.1007/s11147-016-9126-yzbMath1417.91513OpenAlexW2549947900MaRDI QIDQ1621624

Stefan Spinler, Max F. Schöne

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-016-9126-y

zbMATH Keywords

asset pricingderivatives pricingasset price processcommodity marketscommodity derivativescommodity risk management

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods, Optimal decision policy for real options under general Markovian dynamics

Cites Work

• Unnamed Item
• Theory of storage and the pricing of commodity claims
• Pricing of derivatives on mean-reverting assets
• Valuation of commodity derivatives in a new multi-factor model
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Time-varying long-run mean of commodity prices and the modeling of futures term structures
• Optimal Control and Equilibrium Behavior of Production-Inventory Systems
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Real Options Valuation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach