IDEAS home Printed from https://ideas.repec.org/r/kap/revdev/v5y2002i3p251-271.html

Valuation of commodity derivatives in a new multi-factor model

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. Gómez-Valle, Lourdes & López-Marcos, Miguel Ángel & Martínez-Rodríguez, Julia, 2024. "Financial boundary conditions in a continuous model with discrete-delay for pricing commodity futures and its application to the gold market," Chaos, Solitons & Fractals, Elsevier, vol. 187(C).
  3. 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.
  4. Gong, Xiaoye & Li, Ying & Wu, Yang-Che & Yang, Wan-Shiou, 2020. "Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  5. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
  6. 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.
  7. Riccardo Brignone & Luca Gonzato & Carlo Sgarra, 2024. "Commodity Asian option pricing and simulation in a 4-factor model with jump clusters," Annals of Operations Research, Springer, vol. 336(1), pages 275-306, May.
  8. Chou-Wen Wang & Ting-Yi Wu, 2007. "An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 121-134, August.
  9. Roncoroni, Andrea & Prokopczuk, Marcel & Ronn, Ehud I., 2018. "Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 1-4.
  10. Crosby, John & Frau, Carme, 2022. "Jumps in commodity prices: New approaches for pricing plain vanilla options," Energy Economics, Elsevier, vol. 114(C).
  11. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper 2007-92, Tilburg University, Center for Economic Research.
  12. Anh Ngoc Lai & Constantin Mellios, 2016. "Valuation of commodity derivatives with an unobservable convenience yield," Post-Print halshs-01183166, HAL.
  13. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
  14. Delphine Lautier & Alain Galli, 2010. "Dynamic hedging strategies: an application to the crude oil market," Post-Print halshs-00640802, HAL.
  15. Cortazar, Gonzalo & Lopez, Matias & Naranjo, Lorenzo, 2017. "A multifactor stochastic volatility model of commodity prices," Energy Economics, Elsevier, vol. 67(C), pages 182-201.
  16. Gonzato, Luca & Sgarra, Carlo, 2021. "Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging," Energy Economics, Elsevier, vol. 99(C).
  17. Lourdes Gómez-Valle & Julia Martínez-Rodríguez, 2021. "Including Jumps in the Stochastic Valuation of Freight Derivatives," Mathematics, MDPI, vol. 9(2), pages 1-17, January.
  18. 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.
  19. 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.
  20. L. Gómez-Valle & Z. Habibilashkary & J. Martínez-Rodríguez, 2017. "The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices," Abstract and Applied Analysis, John Wiley & Sons, vol. 2017(1).
  21. repec:dau:papers:123456789/5470 is not listed on IDEAS
  22. 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.
  23. Luca Vincenzo Ballestra & Christian Tezza, 2025. "A multi-factor model for improved commodity pricing: Calibration and an application to the oil market," Papers 2501.15596, arXiv.org.
  24. 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.
  25. repec:dau:papers:123456789/95 is not listed on IDEAS
  26. Fileccia, Gaetano & Sgarra, Carlo, 2018. "A particle filtering approach to oil futures price calibration and forecasting," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 21-34.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.