A multiplicative seasonal component in commodity derivative pricing

DOI10.1016/J.CAM.2017.05.014MaRDI QIDQ1676014zbMATH OpenOpenAlexFDO

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

Publication date 3 November 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2017.05.014

zbMATH Keywords

jump-diffusion stochastic processesnonparametric estimationnumerical differentiationrisk premiumrisk-neutral measureseasonality

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A multifactor, nonlinear, continuous-time model of interest rate votality
• A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
• Advances in pricing commodity futures: multifactor models
• Applied stochastic control of jump diffusions
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• Modelling electricity prices: a time change approach
• Nonparametric and semiparametric models.
• On the functional estimation of jump-diffusion models.
• Point processes and queues. Martingale dynamics
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Stochastic calculus for finance. II: Continuous-time models.
• Valuation of commodity derivatives in a new multi-factor model

Cited in

(8)

• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• The jump size distribution of the commodity spot price and its effect on futures and option prices
• Mathematical modeling and computational methods
• Long-term swings and seasonality in energy markets
• Seasonal and stochastic effects in commodity forward curves
• Dynamic model of futures pricing under jump behavior of natural gas price and its empirical research
• Seasonality in commodity prices: new approaches for pricing plain vanilla options
• Estimating and pricing commodity futures with time-delay stochastic processes

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