On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter

DOI10.1007/s10479-018-2770-xzbMath1430.91109OpenAlexW2787371779MaRDI QIDQ2288928

Christian-Oliver Ewald, Zhe Zong, Ai-Hua Zhang

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2770-x

zbMATH Keywords

extended Kalman filterstate-space modelcommodity derivatives

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods ⋮ Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ Distributionally robust optimization with multiple time scales: valuation of a thermal power plant ⋮ On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model ⋮ Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?

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