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

Fourier transformcointegrationOrnstein-Uhlenbeck processesspread optionsquanto optionsLévy processesHeath-Jarrow-Morton modeling

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
• Commodity spread option with cointegration
• A hybrid commodity and interest rate market model

Cites work

• scientific article; zbMATH DE number 6689556 (Why is no real title available?)
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Cited in

(9)

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

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