Lévy-based cross-commodity models and derivative valuation

DOI10.1137/100791609MaRDI QIDQ5388672zbMATH OpenOpenAlexFDO

Authors Sebastian Jaimungal, Vladimir Surkov

Publication date 19 April 2012

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100791609

zbMATH Keywords

cointegrationcommoditiesFourier transform methodsLévy processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cited in

(14)

• Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
• Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
• Swing options in commodity markets: a multidimensional Lévy diffusion model
• Commodity price dynamics and derivative valuation: a review
• Valuing early-exercise interest-rate options with multi-factor affine models
• Model uncertainty in commodity markets
• General closed-form basket option pricing bounds
• Modelling electricity prices: a time change approach
• Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
• Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
• Swing option pricing by dynamic programming with b-spline density projection
• PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• A general approximate computational framework for basket spread options pricing with and without default risk

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