On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter

DOI10.1007/S10479-018-2770-XzbMATH Open1430.91109OpenAlexW2787371779MaRDI QIDQ2288928FDOQ2288928

Authors: Christian-Oliver Ewald, Zhe Zong, Aihua Zhang 

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2770-x

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zbMATH Keywords

state-space modelextended Kalman filtercommodity derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (7)

• Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
• On the parameter estimation in the Schwartz-Smith's two-factor model
• Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
• On autoregressive measurement errors in a two-factor model
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• On correlated measurement errors in the Schwartz-Smith two-factor model

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