Storage Costs in Commodity Option Pricing

DOI10.1137/090746586MaRDI QIDQ3055870zbMATH OpenOpenAlexFDO

Authors Juri Hinz, Max Fehr

Publication date 10 November 2010

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

Full work available at URL https://doi.org/10.1137/090746586

zbMATH Keywords

futures marketsno-arbitrage pricingcommodity optionscontango limitLIBOR modeltheory of storage cost

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(10)

• Market-consistent modeling for cap-and-trade schemes and application to option pricing
• Asymptotic exponential arbitrage in the Schwartz commodity futures model
• Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.
• No-arbitrage commodity option pricing with market manipulation
• On the Pricing of Storable Commodities
• Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
• Risk management in power markets: the hedging value of production flexibility
• Theory of storage and the pricing of commodity claims
• STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS
• Price relations on futures markets for storable commodities

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