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Statistical arbitrage in the freight options market

Adland, Roar; Anestad, Lars Eirik; Abrahamsen, Bjarte - In: Maritime policy & management 50 (2023) 2, pp. 141-156

Persistent link: https://www.econbiz.de/10014231507

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

The CARMA interest rate model

Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10010363925

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

Warren Buffett versus Zvi Bodie : should you buy or sell put options?

Koekebakker, Steen; Zakamulin, Valeriy - In: The journal of wealth management : JWM 24 (2021) 2, pp. 65-81

Persistent link: https://www.econbiz.de/10012613516

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