Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

DOI10.1007/978-3-319-45875-5_20MaRDI QIDQ4976513zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth

Publication date 31 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-45875-5_20

zbMATH Keywords

cointegrationFourier transformHeath-Jarrow-Morton modelingLévy processesOrnstein-Uhlenbeck processesquanto optionsspread options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Commodity derivatives pricing with cointegration and stochastic covariances
• Cointegration in continuous time for factor models
• The impact of cointegration on commodity spread options
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Cites work

• A Fourier transform method for spread option pricing
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Analysis of Fourier transform valuation formulas and applications
• Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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• Esscher transform and the duality principle for multidimensional semimartingales
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• The cumulant process and Esscher's change of measure
• The Lévy LIBOR model
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS

Cited in

(10)

• Commodity spread option with cointegration
• Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
• Cointegration in continuous time for factor models
• Nonlinear bivariate comovements of asset prices: methodology, tests and applications
• Commodity price dynamics and derivative valuation: a review
• Commodity derivatives pricing with cointegration and stochastic covariances
• COINTEGRATION AND SETTLEMENT OF COMMODITY FUTURES CONTRACTS
• The impact of cointegration on commodity spread options
• A new definition for time-dependent price mean reversion in commodity markets
• A class of Gaussian hybrid processes for modeling financial markets

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