The valuation and information content of options on crude-oil futures contracts

DOI10.1007/S11147-014-9107-YzbMath1315.91073OpenAlexW2144640959MaRDI QIDQ2353846

Finbarr Murphy, Ehud I. Ronn

Publication date: 9 July 2015

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-014-9107-y

zbMATH Keywords

crude-oil futures and optionsinformational content of derivative securities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Theory of storage and the pricing of commodity claims
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Option pricing when underlying stock returns are discontinuous

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