Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield

DOI10.1016/J.CHAOS.2020.109849zbMATH Open1489.91268OpenAlexW3026654198MaRDI QIDQ2120709FDOQ2120709

Authors: Zonggang Ma, Chaoqun Ma, Z. Wu 

Publication date: 1 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.109849

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zbMATH Keywords

Mellin transformseasonalityconvenience yieldfutures pricescommodity pricesoptions prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Option pricing with Mellin transforms
• Title not available (Why is that?)
• Title not available (Why is that?)
• Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
• Title not available (Why is that?)
• Valuation of commodity derivatives with an unobservable convenience yield
• Pricing vulnerable path-dependent options using integral transforms
• Time-varying long-run mean of commodity prices and the modeling of futures term structures
• Closed-form pricing formula for exchange option with credit risk
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates

Cited In (4)

• Variational inequality arising from variable annuity with mean reversion environment
• Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Seasonal volatility in agricultural markets: modelling and empirical investigations

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