Pricing commodity spread options with stochastic term structure of convenience yields and interest rates

DOI10.1007/S10690-007-9057-6MaRDI QIDQ2471740zbMATH OpenOpenAlexFDO

Authors Katsushi Nakajima, Akira Maeda

Publication date 18 February 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-007-9057-6

zbMATH Keywords

CommodityConvenience yieldHeath-Jarrow-Morton interest rate modelSpread options

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk

Cited in

(7)

• Storage Costs in Commodity Option Pricing
• Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
• Commodity spread option with cointegration
• The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Pricing forward-futures spread based on copulas with stochastic simulation
• Pricing spread options with stochastic interest rates

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