Similar Search Results

Explaining price differences between physical and derivative freight contracts

Adland, Roar; Alizadeh-Masoodian, Amir H. - In: Transportation research / E : an international journal 118 (2018), pp. 20-33

Persistent link: https://www.econbiz.de/10011927449

Volatility and price jumps in agricultural futures prices : evidence from wheat options

Koekebakker, Steen; Lien, Gudbrand - In: American journal of agricultural economics 86 (2004) 4, pp. 1018-1031

Persistent link: https://www.econbiz.de/10002388555

Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation

Benth, Fred Espen; Koekebakker, Steen; Ollmar, Fridthjof - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 52-66

Persistent link: https://www.econbiz.de/10003611427

Pricing of forwards and other derivatives in cointegrated commodity markets

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011568135

Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Benth, Fred Espen - 2014

We analyse cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility and correlation in the context of our spot price...

Persistent link: https://www.econbiz.de/10013044930