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Commodity derivative valuation under a factor model with time-varying market prices of risk
García Mirantes, Andrés; Población, Javier; Serna, … - In: Review of derivatives research 18 (2015) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10011414114
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A four-factor stochastic volatility model of commodity prices
Schöne, Max F.; Spinler, Stefan - In: Review of derivatives research 20 (2017) 2, pp. 135-165
Persistent link: https://www.econbiz.de/10011935975
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Price discovery and risk transfer in the Brent crude oil futures market
Abba Abdullahi, Saada; Muhammad, Zahid - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 23-35
Persistent link: https://www.econbiz.de/10011589161
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Correlation asymmetry and implication on hedging
Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56
Persistent link: https://www.econbiz.de/10011862371
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The impact of market participants' interaction on futures prices : comparing three US wheat futures markets
Bosch, David - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 120-148
Persistent link: https://www.econbiz.de/10011862379
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Convergence to efficiency in FTSE-100 futures market
Lien, Da-hsiang Donald; Xiang, Ju - In: International journal of financial markets and derivatives 1 (2010) 3, pp. 243-257
Persistent link: https://www.econbiz.de/10008665689
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Convenience yields
Jarrow, Robert A. - In: Review of derivatives research 13 (2010) 1, pp. 25-43
Persistent link: https://www.econbiz.de/10008695502
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Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang; Ma, Chaoqun; Wu, Zhijian - In: Review of derivatives research 25 (2022) 1, pp. 47-91
Persistent link: https://www.econbiz.de/10013191382