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Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates

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Cited by:

  1. Cortazar, Gonzalo & Lopez, Matias & Naranjo, Lorenzo, 2017. "A multifactor stochastic volatility model of commodity prices," Energy Economics, Elsevier, vol. 67(C), pages 182-201.
  2. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  3. Pieroni, Luca & Ricciarelli, Matteo, 2008. "Modelling dynamic storage function in commodity markets: Theory and evidence," Economic Modelling, Elsevier, vol. 25(5), pages 1080-1092, September.
  4. Leif Andersen, 2010. "Markov models for commodity futures: theory and practice," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 831-854.
  5. Mirantes, Andrés García & Población, Javier & Serna, Gregorio, 2013. "The stochastic seasonal behavior of energy commodity convenience yields," Energy Economics, Elsevier, vol. 40(C), pages 155-166.
  6. Sharma, Sankalp & Bairagi, Subir K., 2021. "Role of Producer Risk-preferences on Debt Undertaking: Evidence from Nebraska," 2021 Annual Meeting, August 1-3, Austin, Texas 313998, Agricultural and Applied Economics Association.
  7. Gareth William Peters & Mark Briers & Pavel Shevchenko & Arnaud Doucet, 2013. "Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 841-874, December.
  8. de Jong, C.M. & Huisman, R., 2002. "Option Formulas for Mean-Reverting Power Prices with Spikes," ERIM Report Series Research in Management ERS-2002-96-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  9. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Other publications TiSEM 7354a9fa-3202-40c1-aeb2-a, Tilburg University, School of Economics and Management.
  10. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  11. Chad E. Hart & Sergio H. Lence & Dermot J. Hayes & Na Jin, 2016. "Price Mean Reversion, Seasonality, and Options Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 98(3), pages 707-725.
  12. Fink, Jason D. & Fink, Kristin E. & Russell, Allison, 2010. "When and how do tropical storms affect markets? The case of refined petroleum," Energy Economics, Elsevier, vol. 32(6), pages 1283-1290, November.
  13. Ingo Beyna, 2013. "The Cheyette Model Class," Lecture Notes in Economics and Mathematical Systems, in: Interest Rate Derivatives, edition 127, chapter 0, pages 3-15, Springer.
  14. Thomas Bollinger & Axel Kind, 2015. "Risk Premiums in the Cross-Section of Commodity Convenience Yields," Working Paper Series of the Department of Economics, University of Konstanz 2015-17, Department of Economics, University of Konstanz.
  15. John Crosby, 2008. "A multi-factor jump-diffusion model for commodities," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 181-200.
  16. Sergio H. Lence & Dermot J. Hayes, 2002. "Option Pricing on Renewable Commodity Markets," Center for Agricultural and Rural Development (CARD) Publications 02-wp309, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  17. Eric Girard & Trevor Reid, 2010. "Cost Of Carry On Steroids: Application To Oil Futures Pricing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(2), pages 153-163.
  18. Paschke, Raphael & Prokopczuk, Marcel, 2010. "Commodity derivatives valuation with autoregressive and moving average components in the price dynamics," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2742-2752, November.
  19. Li, Xiao-Ping & Feng, Yun & Wu, Chong-Feng & Xu, Wei-Dong, 2013. "Response of the term structure of forward exchange rate to jump in the interest rate," Economic Modelling, Elsevier, vol. 30(C), pages 863-874.
  20. Zonggang Ma & Chaoqun Ma & Zhijian Wu, 2022. "Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods," Review of Derivatives Research, Springer, vol. 25(1), pages 47-91, April.
  21. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
  22. Kwon, Kyung Yoon & Kang, Jangkoo & Yun, Jaesun, 2021. "Basis-momentum strategies and ranking periods," Finance Research Letters, Elsevier, vol. 43(C).
  23. Gareth W. Peters & Mark Briers & Pavel V. Shevchenko & Arnaud Doucet, 2011. "Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts," Papers 1105.5850, arXiv.org.
  24. P. Karlsson & K. F. Pilz & E. Schlögl, 2017. "Calibrating a market model with stochastic volatility to commodity and interest rate risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 907-925, June.
  25. Murray Carlson & Zeigham Khokher & Sheridan Titman, 2007. "Equilibrium Exhaustible Resource Price Dynamics," Journal of Finance, American Finance Association, vol. 62(4), pages 1663-1703, August.
  26. Tore S. Kleppe & Atle Oglend, 2019. "Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 865-889, July.
  27. López Cabrera, Brenda & Odening, Martin & Ritter, Matthias, 2013. "Pricing rainfall futures at the CME," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4286-4298.
  28. Knut K. Aase, 2004. "A Pricing Model for Quantity Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 71(4), pages 617-642, December.
  29. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, December.
  30. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick, 2016. "The shine of precious metals around the global financial crisis," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 717-738.
  31. Jin, Yufei & Turvey, Calum G., 2004. "A General Approach To Valuing Commodity-Linked Bonds," 2004 Annual meeting, August 1-4, Denver, CO 20039, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  32. Tian-Shyr Dai, 2009. "Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 827-838.
  33. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2, July-Dece.
  34. Joanna Janczura & Aleksander Weron, 2008. "Modelling energy forward prices," HSC Research Reports HSC/08/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  35. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017.
  36. Turvey, Calum G. & Chantarat, Sommarat, 2006. "Weather-Linked Bonds," 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006, Washington, DC 133091, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  37. Ke Tang, 2012. "Time-varying long-run mean of commodity prices and the modeling of futures term structures," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 781-790, April.
  38. Rajnish Kamat & Shmuel S. Oren, 2002. "Exotic Options for Interruptible Electricity Supply Contracts," Operations Research, INFORMS, vol. 50(5), pages 835-850, October.
  39. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
  40. Calum G. Turvey, 2006. "Managing food industry business and financial risks with commodity-linked credit instruments," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 523-545.
  41. Katsushi Nakajima, 2020. "Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 35-59, March.
  42. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
  43. Bisht Deepak & Laha, A. K., 2017. "Pricing Option on Commodity Futures under String Shock," IIMA Working Papers WP 2017-07-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  44. Patrik Karlsson & Kay F Pilz & Erik Schlogl, 2016. "Calibrating Market Model to Commodity and Interest Rate Risk," Research Paper Series 372, Quantitative Finance Research Centre, University of Technology, Sydney.
  45. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
  46. repec:uts:finphd:37 is not listed on IDEAS
  47. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 103-122.
  48. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  49. Xiao, Chang & Florescu, Ionut & Zhou, Jinsheng, 2020. "A comparison of pricing models for mineral rights: Copper mine in China," Resources Policy, Elsevier, vol. 65(C).
  50. Feng Dai & Yajun Sun & Songtao Wu, 2008. "The Structure Models for Futures Options Pricing and Related Researches," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 61-76, May.
  51. Liao Wang & Johannes Wissel, 2013. "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, vol. 17(4), pages 641-683, October.
  52. Ma, Zonggang & Ma, Chaoqun & Wu, Zhijian, 2020. "Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
  53. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Valuing commodity options and futures options with changing economic conditions," Economic Modelling, Elsevier, vol. 51(C), pages 524-533.
  54. Crosby, John & Frau, Carme, 2022. "Jumps in commodity prices: New approaches for pricing plain vanilla options," Energy Economics, Elsevier, vol. 114(C).
  55. Gonzalo Cortazar & Simon Gutierrez & Hector Ortega, 2016. "Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 457-487, May.
  56. Vincenzo Costa & Angela Maddaleni, 2018. "On The Relation Between Oil Price And U.S. Dollar: A Review Of Financial Point-Of-View," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 6(1), pages 84-92.
  57. NAKAJIMA Katsushi, 2017. "Commodity Spot, Forward, and Futures Prices with a Firm's Optimal Strategy," Discussion papers 17008, Research Institute of Economy, Trade and Industry (RIETI).
  58. Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, December.
  59. Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017. "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 819-848, April.
  60. Kenichiro Shiraya & Akihiko Takahashi, 2007. "Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model ( Revised in December 2007; Subsequently published in "Quantitative Finance". )," CARF F-Series CARF-F-113, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  61. Hansen, Thomas Lyse & Jensen, Bjarne Astrup, 2005. "Energy Options in an HJM Framework," Working Papers 2004-10, Copenhagen Business School, Department of Finance.
  62. De Jong Cyriel, 2006. "The Nature of Power Spikes: A Regime-Switch Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-28, September.
  63. Frederik Herzberg, 2008. "Black-Scholes theory for an underlying with multiple attractors," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 453-457.
  64. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper 2007-92, Tilburg University, Center for Economic Research.
  65. Liu, Peng (Peter) & Tang, Ke, 2010. "No-arbitrage conditions for storable commodities and the modeling of futures term structures," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1675-1687, July.
  66. Bhanot, Karan, 2002. "Value of an option to purchase electric power -- the case of uncertain consumption," Energy Economics, Elsevier, vol. 24(2), pages 121-137, March.
  67. Benth, Fred Espen & Koekebakker, Steen, 2015. "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, vol. 52(PA), pages 104-117.
  68. Fernando Antonio Lucena Aiube & Ariel Levy, 2019. "Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 29(1), pages 223-248, January-A.
  69. Ai, Chunrong & Chatrath, Arjun & Song, Frank, 2007. "A semiparametric estimation of the optimal hedge ratio," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 366-381, May.
  70. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
  71. Chou-Wen Wang & Ting-Yi Wu, 2010. "Futures and futures options with basis risk: theoretical and empirical perspectives," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 477-485.
  72. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
  73. Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
  74. Juri Hinz, 2006. "Valuing virtual production capacities on flow commodities," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 64(2), pages 187-209, October.
  75. Katsushi Nakajima, 2022. "Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield," Annals of Finance, Springer, vol. 18(1), pages 35-80, March.
  76. Guiotto, Paolo, 2022. "A note on the spot-forward parity under stochastic cost of carry," Energy Economics, Elsevier, vol. 112(C).
  77. de Jong, C.M., 2005. "The Nature of Power Spikes: a regime-switch approach," ERIM Report Series Research in Management ERS-2005-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  78. Kenichiro Shiraya & Akihiko Takahashi, 2009. "Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model," CIRJE F-Series CIRJE-F-618, CIRJE, Faculty of Economics, University of Tokyo.
  79. David A. Hennessy & Donald Lien, 2003. "Ledger Provision in Hog Marketing Contracts," Center for Agricultural and Rural Development (CARD) Publications 03-wp336, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  80. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2013.
  81. Anh Ngoc Lai & Constantin Mellios, 2016. "Valuation of commodity derivatives with an unobservable convenience yield," Post-Print halshs-01183166, HAL.
  82. Suenaga, Hiroaki, 2013. "Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 53-66.
  83. Seifert, Ralf W. & Thonemann, Ulrich W. & Hausman, Warren H., 2004. "Optimal procurement strategies for online spot markets," European Journal of Operational Research, Elsevier, vol. 152(3), pages 781-799, February.
  84. Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
  85. Björk, Tomas & Landen, Camilla, 2000. "On the Term Structure of Futures and Forward Prices," SSE/EFI Working Paper Series in Economics and Finance 0417, Stockholm School of Economics, revised 20 Dec 2000.
  86. Feng, Ling & Wang, Jieyu, 2023. "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, vol. 86(C).
  87. Chen, Jilong & Ewald, Christian-Oliver, 2017. "Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 144-151.
  88. Neil Kellard & Denise Osborn & Jerry Coakley & Isabel Figuerola-Ferretti & Christopher L. Gilbert & J. Roderick McCrorie, 2015. "Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 763-782, September.
  89. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  90. Chen, Ren-Raw & Leistikow, Dean & Wang, Andrew, 2020. "Futures minimum variance hedge ratio determination: An ex-ante analysis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  91. Paschke, Raphael & Prokopczuk, Marcel, 2007. "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper 5412, University Library of Munich, Germany.
  92. Atle Oglend & Vesa-Heikki Soini, 2020. "Equilibrium Working Curves with Heterogeneous Agents," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 355-372, August.
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  94. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
  95. Mihaela Manoliu & Stathis Tompaidis, 2002. "Energy futures prices: term structure models with Kalman filter estimation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 21-43.
  96. K. F. Pilz & E. Schlögl, 2013. "A hybrid commodity and interest rate market model," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 543-560, March.
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  98. Philippe Raimbourg & Paul Zimmermann, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," Post-Print hal-04011013, HAL.
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