Dynamic model of futures pricing under jump behavior of natural gas price and its empirical research

zbMATH Open1399.91123MaRDI QIDQ3175761FDOQ3175761

Authors: Wenting Xing, Shengli Wu 

Publication date: 18 July 2018

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zbMATH Keywords

Kalman filterjump processesnatural gas futures

Mathematics Subject Classification ID

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

Cited In (6)

• European gas prices dynamics: EEX ad-hoc study
• News, volatility and jumps: the case of natural gas futures
• World natural gas markets: characteristics, basic properties and linkages of natural gas prices
• The jump size distribution of the commodity spot price and its effect on futures and option prices
• A joint model for temperature and natural gas with an application to the US market
• Computer algebra and algebraic geometry -- achievements and perspectives

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