Seasonality and the valuation of commodity options
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DOI: 10.1016/j.jbankfin.2012.08.025
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- Janis Back & Marcel Prokopczuk & Markus Rudolf, 2010. "Seasonality and the Valuation of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2010-08, Henley Business School, University of Reading.
References listed on IDEAS
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Citations
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Cited by:
- Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
- Date, Paresh & Mamon, Rogemar & Tenyakov, Anton, 2013. "Filtering and forecasting commodity futures prices under an HMM framework," Energy Economics, Elsevier, vol. 40(C), pages 1001-1013.
- Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021.
"Capturing the power options smile by an additive two-factor model for overlapping futures prices,"
Energy Economics, Elsevier, vol. 95(C).
- Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Papers 1910.01044, arXiv.org.
- Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Center for Mathematical Economics Working Papers 625, Center for Mathematical Economics, Bielefeld University.
- Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Spodniak, Petr & Bertsch, Valentin, 2017. "Determinants of power spreads in electricity futures markets: A multinational analysis," Papers WP580, Economic and Social Research Institute (ESRI).
- Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020.
"The economic importance of rare earth elements volatility forecasts,"
International Review of Financial Analysis, Elsevier, vol. 71(C).
- Juliane Proelss & Denis Schweizer & Volker Seiler, 2019. "The economic importance of rare earth elements volatility forecasts," Post-Print hal-02983233, HAL.
- Belleh Fontem & Megan Price, 2021. "Joint client selection and contract design for a risk-averse commodity broker in a two-echelon supply chain," Annals of Operations Research, Springer, vol. 307(1), pages 111-138, December.
- Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2019.
"Long-term swings and seasonality in energy markets,"
European Journal of Operational Research, Elsevier, vol. 279(3), pages 1011-1023.
- Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "Long-term swings and seasonality in energy markets," Documentos de Trabajo del ICAE 2019-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015.
"Electricity derivatives pricing with forward-looking information,"
Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
- Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Derivatives Pricing with Forward-Looking Information," Working Papers on Finance 1317, University of St. Gallen, School of Finance.
- Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020.
"Economic determinants of oil futures volatility: A term structure perspective,"
Energy Economics, Elsevier, vol. 88(C).
- Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
- Nikkinen, Jussi & Rothovius, Timo, 2019. "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 16-29.
- 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).
- Farkas, Walter & Gourier, Elise & Huitema, Robert & Necula, Ciprian, 2017.
"A two-factor cointegrated commodity price model with an application to spread option pricing,"
Journal of Banking & Finance, Elsevier, vol. 77(C), pages 249-268.
- Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas, 2015. "A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing," Swiss Finance Institute Research Paper Series 15-54, Swiss Finance Institute, revised Jun 2016.
- Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015. "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 72-84.
- Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Curve momentum," Journal of Banking & Finance, Elsevier, vol. 113(C).
- Zakić, Vladimir & Kovačević, Vlado & Ivkov, Ivana & Mirović, Vera, 2014. "Importance Of Public Warehouse System For Financing Agribusiness Sector," Economics of Agriculture, Institute of Agricultural Economics, vol. 61(4), pages 1-15, December.
- Abel Azze & Bernardo D'Auria & Eduardo Garc'ia-Portugu'es, 2022. "Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes," Papers 2211.04095, arXiv.org.
- Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang, 2022. "Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?," Energy Economics, Elsevier, vol. 115(C).
- Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus, 2016.
"Seasonal Stochastic Volatility: Implications for the pricing of commodity options,"
Journal of Banking & Finance, Elsevier, vol. 66(C), pages 53-65.
- Janis Back & Marcel Prokopczuk & Markus Rudolf, 2011. "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2011-16, Henley Business School, University of Reading.
- 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.
- Mat Rahim, Siti Rohaya, 2014. "Asymmetric Cointegration: Barley and Crude Oil Price in United States," MPRA Paper 58447, University Library of Munich, Germany.
- Anh Ngoc Lai & Constantin Mellios, 2016. "Valuation of commodity derivatives with an unobservable convenience yield," Post-Print halshs-01183166, HAL.
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More about this item
Keywords
Commodities; Seasonality; Options pricing;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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