Time-varying long-run mean of commodity prices and the modeling of futures term structures

DOI10.1080/14697688.2010.488654zbMath1278.91067OpenAlexW2140918863MaRDI QIDQ2869967

Ke Tang

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.488654

zbMATH Keywords

asset pricingcommodity pricesderivatives pricingcommodity marketscontinuous-time finance

Mathematics Subject Classification ID

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

Related Items (5)

Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield ⋮ A four-factor stochastic volatility model of commodity prices ⋮ Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation ⋮ Strategic commodity allocation ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

Cites Work

• Testing for unit roots in autoregressive-moving average models of unknown order
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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