A four-factor stochastic volatility model of commodity prices
type: Item
instance of: scholarly article
title: A four-factor stochastic volatility model of commodity prices
zbMATH Open document ID: 1417.91513
author: Max F. Schöne
author: Stefan Spinler
published in: Review of Derivatives Research
publication date: 2018-11-09T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6975831
zbMATH Keywords: asset pricing
zbMATH Keywords: commodity markets
zbMATH Keywords: commodity derivatives
zbMATH Keywords: derivatives pricing
zbMATH Keywords: asset price process
zbMATH Keywords: commodity risk management
MaRDI profile type: Publication
full work available at URL: s11147-016-9126-y
OpenAlex ID: W2549947900
cites work: Q4035100
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cites work: Electricity prices and power derivatives: evidence from the Nordic Power Exchange
cites work: Pricing of derivatives on mean-reverting assets
cites work: Theory of storage and the pricing of commodity claims
cites work: Real Options Valuation
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cites work: Valuation of commodity derivatives in a new multi-factor model
DOI: 10.1007/S11147-016-9126-Y
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description: scientific article; zbMATH DE number 6975831