The dynamics of commodity prices
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Publication:5397404
DOI10.1080/14697688.2013.769689zbMath1281.91078OpenAlexW3124959233WikidataQ58168454 ScholiaQ58168454MaRDI QIDQ5397404
Chris Brooks, Marcel Prokopczuk
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.769689
Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
On the estimation of regime-switching Lévy models ⋮ Can commodities dominate stock and bond portfolios? ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW ⋮ Specification tests for time-varying parameter models with stochastic volatility
Cites Work
- Alternative models for stock price dynamics.
- Post-'87 crash fears in the S\&P 500 futures option market
- Seasonal and stochastic effects in commodity forward curves
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Energy futures prices: term structure models with Kalman filter estimation
- Bayesian Measures of Model Complexity and Fit
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
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