Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil
Jilong Chen, Christian Ewald, Ruolan Ouyang, Sjur Westgaard, Xiaoxia Xiao
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Jilong ; Ewald, Christian ; Ouyang, Ruolan ; Westgaard, Sjur ; Xiao, Xiaoxia |
| Published in: |
Financial modeling and risk management of energy and environmental instruments and derivates. - Dordrecht, The Netherlands : Springer. - 2022, p. 29-46
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| Subject: | Commodity futures | Stochastic volatility | Multi-factor models | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Erdöl | Petroleum | Theorie | Theory | Schätzung | Estimation | CAPM | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-021-04198-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013349908