Commodity futures option valuation : an ensemble model
Yi Cao, Jia Zhai, Conghua Wen, Lu Zong, Ao Yang
| Year of publication: |
2025
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|---|---|
| Authors: | Cao, Yi ; Zhai, Jia ; Wen, Conghua ; Zong, Lu ; Yang, Ao |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 105.2025, Art.-No. 104372, p. 1-20
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| Subject: | Clustering method | Ensemble model | Future options | HAR model | Implied volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2025.104372 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015610980