Markov models for commodity futures: theory and practice
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Publication:3063849
DOI10.1080/14697680903493599zbMath1202.91309OpenAlexW3125114981MaRDI QIDQ3063849
Publication date: 15 December 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903493599
Statistical methods; risk measures (91G70) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ On Poisson mixture of lognormal distributions ⋮ Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? ⋮ A local radial basis function method for pricing options under the regime switching model
Cites Work
- Modelling spikes and pricing swing options in electricity markets
- A multi-factor jump-diffusion model for commodities†
- Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Robust numerical methods for contingent claims under jump diffusion processes
- The Term Structure of Simple Forward Rates with Jump Risk
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
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