Stochastic Models for Oil Prices and the Pricing of Futures on Oil

DOI10.1080/1350486X.2015.1005281zbMath1396.91756OpenAlexW2111697050MaRDI QIDQ4682479

Mohammed A. Aba Oud, Joanna M. Goard

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2015.1005281

zbMATH Keywords

stochastic modelsoil pricesfutures on oil

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

VALUATION OF OPTIONS ON OIL FUTURES UNDER THE 3/4 OIL PRICE MODEL

Cites Work

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• Implementing a Real Option Model for Valuing an Undeveloped Oil Field
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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