A multi-factor jump-diffusion model for commodities†
From MaRDI portal
Publication:3498564
DOI10.1080/14697680701253021zbMATH Open1134.91018OpenAlexW1980483884MaRDI QIDQ3498564FDOQ3498564
Publication date: 15 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22101
Recommendations
- Valuation of commodity derivatives in a new multi-factor model
- Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
- Commodity price modelling that matches current observables: a new approach
- A hybrid commodity and interest rate market model
- Commodity futures term structure model
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Title not available (Why is that?)
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Martingales and stochastic integrals in the theory of continuous trading
- Bond Market Structure in the Presence of Marked Point Processes
- Option and Futures Evaluation With Deterministic Volatilities1
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- Conditional Gaussian models of the term structure of interest rates
- Pricing continuously resettled contingent claims
- A note on arbitrage‐free pricing of forward contracts in energy markets
Cited In (16)
- Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
- Pricing commodity index options
- Multi-layer model of correlated energy prices
- A four-factor stochastic volatility model of commodity prices
- Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.
- A flexible model for tree-structured multi-commodity markets
- News, volatility and jumps: the case of natural gas futures
- Commodity price dynamics and derivative valuation: a review
- TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
- Valuation of commodity derivatives in a new multi-factor model
- The Risk Premium and the Esscher Transform in Power Markets
- Calibration of a multifactor model for the forward markets of several commodities
- METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS
- Jump factor models in large cross‐sections
- Markov models for commodity futures: theory and practice
This page was built for publication: A multi-factor jump-diffusion model for commodities†
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3498564)
