Commodity derivatives pricing with cointegration and stochastic covariances
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Publication:319797
DOI10.1016/J.EJOR.2015.05.012zbMATH Open1346.91227DBLPjournals/eor/ChiuWZ15OpenAlexW1874510373WikidataQ58980797 ScholiaQ58980797MaRDI QIDQ319797FDOQ319797
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
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Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Error Correction and Long-Run Equilibrium in Continuous Time
- Wishart processes
- Option pricing when correlations are stochastic: an analytical framework
- The Wishart autoregressive process of multivariate stochastic volatility
- Mean-variance portfolio selection of cointegrated assets
- American options with stochastic dividends and volatility: a nonparametric investigation
- High-order computational methods for option valuation under multifactor models
- A Fourier transform method for spread option pricing
- Derivative pricing with Wishart multivariate stochastic volatility
- Option pricing with mean reversion and stochastic volatility
- Mean-variance portfolio selection with correlation risk
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- Forecasting the volatility of crude oil futures using intraday data
- On the Behaviour of Commodity Prices
- Option valuation with co-integrated asset prices
Cited In (20)
- Pairs trading with partial cointegration
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Pairs trading with partial cointegration
- A four-factor stochastic volatility model of commodity prices
- A new definition for time-dependent price mean reversion in commodity markets
- Commodity spread option with cointegration
- Long-term swings and seasonality in energy markets
- The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk
- Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
- The impact of cointegration on commodity spread options
- Commodity price dynamics and derivative valuation: a review
- Modelling and measuring price discovery in commodity markets
- On moment non-explosions for Wishart-based stochastic volatility models
- Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
- Optimal market-making strategies under synchronised order arrivals with deep neural networks
- Robust dynamic pairs trading with cointegration
- Explosion time for some Laplace transforms of the Wishart process
- Is normal backwardation normal? Valuing financial futures with a local index-rate covariance
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