Model uncertainty in commodity markets

DOI10.1137/15M1027243MaRDI QIDQ3465256zbMATH OpenFDO

Authors Álvaro Cartea, Sebastian Jaimungal, Zhen Qin

Publication date 21 January 2016

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

Knightian uncertaintyoptimal controlambiguity aversionrobust pricingcertainty equivalentcommoditiesindifference pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving partial differential equations (49J20) Financial applications of other theories (91G80)

Recommendations

• Equilibrium prices and trade under ambiguous volatility
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• An equilibrium model for spot and forward prices of commodities

Cites work

• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• A note on arbitrage‐free pricing of forward contracts in energy markets
• Algorithmic trading with model uncertainty
• Ambiguity in asset pricing and portfolio choice: a review of the literature
• Analytical Approximation for the Price Dynamics of Spark Spread Options
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• Electricity price modeling and asset valuation: a multi-fuel structural approach
• INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
• Irreversible investments and ambiguity aversion
• Lévy-based cross-commodity models and derivative valuation
• Modelling and measuring price discovery in commodity markets
• Modelling spikes and pricing swing options in electricity markets
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
• Stochastic modeling of electricity and related markets.

Cited in

(7)

• scientific article; zbMATH DE number 7255567 (Why is no real title available?)
• No-arbitrage commodity option pricing with market manipulation
• Irreversible investments and ambiguity aversion
• 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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