scientific article; zbMATH DE number 176006
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Publication:4035100
zbMATH Open0825.62942MaRDI QIDQ4035100FDOQ4035100
Authors: M. J. Brennan 
Publication date: 18 May 1993
Title of this publication is not available (Why is that?)
Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)
Cited In (11)
- Impact of divergent consumer confidence on option prices
- Adaptive signal processing of asset price dynamics with predictability analysis
- A four-factor stochastic volatility model of commodity prices
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- The valuation and information content of options on crude-oil futures contracts
- Renewable energy investments under different support schemes: a real options approach
- Hedging long-term forwards with short-term futures: a two-regime approach
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
- Real (investment) options with multiple sources of rare events
- Valuation of commodity derivatives with an unobservable convenience yield
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