The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
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Publication:3100748
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Processes of normal inverse Gaussian type
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
Cited in
(35)- Risk Valuation of Quanto Derivatives on Temperature and Electricity
- Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
- A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
- Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
- Valuation of commodity derivatives with an unobservable convenience yield
- Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Simulation methods and error analysis for trawl processes and ambit fields
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
- Stochastic volatility and dependency in energy markets: multi-factor modelling
- Pricing and hedging Asian-style options on energy
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
- Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
- Modelling electricity futures by ambit fields
- Large portfolio losses in a turbulent market
- From calendar time to business time: the case of commodity markets
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- Representation of infinite-dimensional forward price models in commodity markets
- A four-factor stochastic volatility model of commodity prices
- Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications
- Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
- The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- On stochastic integration for volatility modulated Lévy-driven Volterra processes
- Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
- Forward pricing in the shipping freight market
- Weather derivatives and stochastic modelling of temperature
- Stochastic dynamical modelling of spot freight rates
- Pricing and hedging of energy spread options and volatility modulated Volterra processes
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