COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

DOI10.1142/S0219024913500325zbMath1279.91070MaRDI QIDQ2862510

Marcel Prokopczuk, Janis Back

Publication date: 15 November 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500325

zbMATH Keywords

seasonality; commodity prices; mean reversion; convenience yield; Samuelson effect; review article; theory of storage; commodity derivatives

Mathematics Subject Classification ID

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91B24: Microeconomic theory (price theory and economic markets)

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

Related Items

The Impact of Cointegration on Commodity Spread Options, On the seasonality in the implied volatility of electricity options, Cointegration in continuous time for factor models

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