The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets

DOI10.1111/J.1467-9965.2010.00445.XzbMATH Open1247.91178OpenAlexW1576772981MaRDI QIDQ3100748FDOQ3100748

Authors: Fred Espen Benth 

Publication date: 21 November 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00445.x

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zbMATH Keywords

stochastic volatilitysubordinatorsHeston modelcommodity marketsOrnsteinUhlenbeck process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Processes of normal inverse Gaussian type
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

Cited In (31)

• Representation of infinite-dimensional forward price models in commodity markets
• Forward pricing in the shipping freight market
• Pricing and hedging Asian-style options on energy
• Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets
• The mean-reverting 4/2 stochastic volatility model: properties and financial applications
• Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling
• A four-factor stochastic volatility model of commodity prices
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING
• Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
• Large portfolio losses in a turbulent market
• On stochastic integration for volatility modulated Lévy-driven Volterra processes
• Pricing and hedging of energy spread options and volatility modulated Volterra processes
• A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
• Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
• Valuation of commodity derivatives with an unobservable convenience yield
• Weather derivatives and stochastic modelling of temperature
• 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
• From calendar time to business time: the case of commodity markets
• Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
• The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
• Modelling Electricity Futures by Ambit Fields
• 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
• Risk Valuation of Quanto Derivatives on Temperature and Electricity
• Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

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