Model uncertainty in commodity markets
DOI10.1137/15M1027243zbMATH Open1330.91179MaRDI QIDQ3465256FDOQ3465256
Authors: Álvaro Cartea, Sebastian Jaimungal, Zhen Qin 
Publication date: 21 January 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Recommendations
Knightian uncertaintyoptimal controlambiguity aversionrobust pricingcertainty equivalentcommoditiesindifference pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving partial differential equations (49J20) Financial applications of other theories (91G80)
Cites Work
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- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
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- Modelling spikes and pricing swing options in electricity markets
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- Analytical Approximation for the Price Dynamics of Spark Spread Options
- Modelling and measuring price discovery in commodity markets
- ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
- Lévy-based cross-commodity models and derivative valuation
- A note on arbitrage‐free pricing of forward contracts in energy markets
Cited In (7)
- Title not available (Why is that?)
- Irreversible investments and ambiguity aversion
- No-arbitrage commodity option pricing with market manipulation
- Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Model uncertainty on commodity portfolios, the role of convenience yield
- Structural electricity models and asymptotically normal estimators to quantify parameter risk
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