Commodity derivatives pricing with cointegration and stochastic covariances

DOI10.1016/J.EJOR.2015.05.012MaRDI QIDQ319797zbMATHOpenAlexDBLPWikidataFDO

Authors Mei Choi Chiu, Hoi Ying Wong, Jing Zhao

Publication date 6 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2015.05.012

zbMATH Keywords

option pricingcointegrationstochastic convenience yieldstochastic covariance

Mathematics Subject Classification ID

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

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Cites work

• A Fourier transform method for spread option pricing
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• American options with stochastic dividends and volatility: a nonparametric investigation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Derivative pricing with Wishart multivariate stochastic volatility
• Error Correction and Long-Run Equilibrium in Continuous Time
• Forecasting the volatility of crude oil futures using intraday data
• High-order computational methods for option valuation under multifactor models
• Mean-variance asset-liability management: cointegrated assets and insurance liability
• Mean-variance portfolio selection of cointegrated assets
• Mean-variance portfolio selection with correlation risk
• On the Behaviour of Commodity Prices
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
• Option pricing when correlations are stochastic: an analytical framework
• Option pricing with mean reversion and stochastic volatility
• Option valuation with co-integrated asset prices
• The Wishart autoregressive process of multivariate stochastic volatility
• Wishart processes

Cited in

(20)

• The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk
• Pairs trading with partial cointegration
• Commodity price dynamics and derivative valuation: a review
• Pairs trading with partial cointegration
• Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
• Explosion time for some Laplace transforms of the Wishart process
• Commodity spread option with cointegration
• Optimal market-making strategies under synchronised order arrivals with deep neural networks
• The impact of cointegration on commodity spread options
• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
• Long-term swings and seasonality in energy markets
• Robust dynamic pairs trading with cointegration
• Modelling and measuring price discovery in commodity markets
• A four-factor stochastic volatility model of commodity prices
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
• A new definition for time-dependent price mean reversion in commodity markets
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• On moment non-explosions for Wishart-based stochastic volatility models
• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?

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