Valuation of commodity derivatives with an unobservable convenience yield

DOI10.1016/j.cor.2015.03.007zbMath1349.91275OpenAlexW3123468798MaRDI QIDQ342244

Constantin Mellios, Anh Ngoc Lai

Publication date: 17 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-01183166/file/shs1183166.pdf

zbMATH Keywords

interest ratesincomplete informationfutures pricescommodity spot pricesconvenience yieldoption pricesunobservable variables

Mathematics Subject Classification ID

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

Related Items (4)

Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield ⋮ Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Long-term swings and seasonality in energy markets

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