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

DOI10.1007/S10479-018-2770-XMaRDI QIDQ2288928zbMATH OpenOpenAlexFDO

Authors Christian-Oliver Ewald, Zhe Zong, Aihua Zhang

Publication date 20 January 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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(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?
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• On autoregressive measurement errors in a two-factor model
• 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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