A multi-factor jump-diffusion model for commodities†
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Publication:3498564
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Cites work
- scientific article; zbMATH DE number 1222803 (Why is no real title available?)
- A note on arbitrage‐free pricing of forward contracts in energy markets
- An equilibrium characterization of the term structure
- Bond Market Structure in the Presence of Marked Point Processes
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Conditional Gaussian models of the term structure of interest rates
- Martingales and stochastic integrals in the theory of continuous trading
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- Option and Futures Evaluation With Deterministic Volatilities1
- Option pricing when underlying stock returns are discontinuous
- Pricing continuously resettled contingent claims
- Pricing interest-rate-derivative securities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(30)- Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
- Stochastic model for gold prices and its application for no-arbitrage pricing
- Pricing commodity index options
- Multi-layer model of correlated energy prices
- A four-factor stochastic volatility model of commodity prices
- A flexible model for tree-structured multi-commodity markets
- Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.
- News, volatility and jumps: the case of natural gas futures
- Commodity futures term structure model
- The valuation and information content of options on crude-oil futures contracts
- Commodity price dynamics and derivative valuation: a review
- The risk premium and the Esscher transform in power markets
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
- Commodity derivatives pricing with cointegration and stochastic covariances
- Modeling and estimating commodity prices: copper prices
- Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
- Commodity price modelling that matches current observables: a new approach
- Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
- The jump size distribution of the commodity spot price and its effect on futures and option prices
- Multi-factor polynomial diffusion models and inter-temporal futures dynamics
- Valuation of commodity derivatives with an unobservable convenience yield
- Valuation of commodity derivatives in a new multi-factor model
- A hybrid commodity and interest rate market model
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- Calibration of a multifactor model for the forward markets of several commodities
- Stochastic models for oil prices and the pricing of futures on oil
- Advances in pricing commodity futures: multifactor models
- Jump factor models in large cross‐sections
- Markov models for commodity futures: theory and practice
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
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