Showing 1 - 10 of 33
In this paper we develop a multi-factor model for the joint dynamics of related commodity spot prices in continuous time. We contribute to the existing literature by simultaneously considering various commodity markets in a single, consistent model. In an application we show the economic...
Persistent link: https://www.econbiz.de/10005626834
In this paper we develop a continuous time factor model of commodity prices that allows for higher order autoregression and moving average components. The need for these components is documented by analyzing the convenience yield's time series dynamics. Making use of the affine model structure,...
Persistent link: https://www.econbiz.de/10008542353
This article empirically investigates whether continuous time pricing models are able to help reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity...
Persistent link: https://www.econbiz.de/10010619221
In this paper, we develop a continuous time factor model of commodity prices that allows for higher-order autoregressive and moving average components. We document the need for these components by analyzing the convenience yield's time series dynamics. The model we propose is analytically...
Persistent link: https://www.econbiz.de/10008864547
We employ a large dataset of physical inventory data on 21 different commodities for the period 1993-2011 to empirically analyze the behaviour of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we explore the relationship between...
Persistent link: https://www.econbiz.de/10011111409
In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic...
Persistent link: https://www.econbiz.de/10011263470
In this article, we consider the pricing and hedging of single‐route dry bulk freight futures contracts traded on the International Maritime Exchange. Thus far, this relatively young market has received almost no academic attention. In contrast to many other commodity markets, freight services...
Persistent link: https://www.econbiz.de/10011198230
This study analyzes the issue of American option valuation when the underlying exhibits a GARCH‐type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation‐based methods being considered in previous studies. The EBT‐based valuation...
Persistent link: https://www.econbiz.de/10011196965
In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility risk premium and implement this methodology using more...
Persistent link: https://www.econbiz.de/10010738271
This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second...
Persistent link: https://www.econbiz.de/10010883202