The jump size distribution of the commodity spot price and its effect on futures and option prices
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Publication:1667549
DOI10.1155/2017/3286549zbMATH Open1470.91276OpenAlexW2765211690MaRDI QIDQ1667549FDOQ1667549
J. Martínez-Rodríguez, Z. Habibilashkary, L. Gómez-Valle
Publication date: 30 August 2018
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2017/3286549
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Cites Work
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- On the functional estimation of jump-diffusion models.
- Positive finite difference schemes for a partial integro-differential option pricing model
- Modelling electricity prices: a time change approach
- Valuation of commodity derivatives in a new multi-factor model
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- Advances in pricing commodity futures: multifactor models
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
- Paul Wilmott introduces quantitative finance. With CD-ROM
- Time-varying leverage effects
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