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A multiple regime extension to the Heston–Nandi GARCH(1,1) model

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The 2019 government shutdown increased uncertainty in major agricultural commodity markets

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Risk sensitive linear approximations

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Modeling and valuation of energy structures : analylsis., econometrics, and numerics

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Drawbacks and limitations of Black-Scholes model for options pricing

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Does options improve the information absorption? : evidence from the introduction of weekly index options

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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

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Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Overreactions in the foreign currency options market

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