Storage Costs in Commodity Option Pricing

DOI10.1137/090746586zbMath1201.91197OpenAlexW2009599232MaRDI QIDQ3055870

Max Fehr, Juri Hinz

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

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

Related Items (3)

Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Risk management in power markets: the hedging value of production flexibility ⋮ Market-Consistent Modeling for Cap-and-Trade Schemes and Application to Option Pricing

This page was built for publication: Storage Costs in Commodity Option Pricing