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Are Commodity Prices More Vola...
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Option pricing theory
Volatility
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Cui, Zhenyu
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Christoffersen, Peter F.
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23
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22
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19
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Grzelak, Lech A.
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International journal of theoretical and applied finance
165
Quantitative finance
118
The journal of futures markets
85
Applied mathematical finance
79
Journal of banking & finance
79
The journal of computational finance
69
Finance research letters
64
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
International journal of financial engineering
52
Review of derivatives research
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Finance and stochastics
43
European journal of operational research : EJOR
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Computational economics
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Risks : open access journal
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Journal of econometrics
36
Journal of economic dynamics & control
35
Journal of empirical finance
32
Journal of mathematical finance
32
Journal of financial economics
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Annals of finance
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Insurance / Mathematics & economics
27
International review of economics & finance : IREF
26
Review of quantitative finance and accounting
25
Applied economics
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Energy economics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International review of financial analysis
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Journal of risk and financial management : JRFM
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The European journal of finance
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The journal of finance : the journal of the American Finance Association
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Asia-Pacific financial markets
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ECONIS (ZBW)
4,133
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1
Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya
-
2014
Persistent link: https://www.econbiz.de/10010516044
Saved in:
2
Valuing long-term commodity assets
Schwartz, Eduardo S.
- In:
Journal of energy finance & development
3
(
1998
)
2
,
pp. 85-99
Persistent link: https://www.econbiz.de/10001445708
Saved in:
3
Pricing European commodity swaptions
Järvinen, Sami
;
Toivonen, Harri
- In:
Applied economics letters
11
(
2004
)
15
,
pp. 925-929
Persistent link: https://www.econbiz.de/10002507442
Saved in:
4
Closed-Form Option Pricing Formulas for Mean-Reverting Commodity Prices with Regime-Switching
Christoforidou, Amalia
-
2015
commodity prices and regime-switching in the commodity returns
volatility
. After a closed-form solution for the option value in …
Persistent link: https://www.econbiz.de/10013022750
Saved in:
5
Jumps in Commodity Prices : New Approaches for Pricing Options
Frau, Carme
;
Crosby, John
-
2021
the spot price follows a log-normal process, the forward cost of carry curve and the
volatility
are stochastic variables …
Persistent link: https://www.econbiz.de/10013244842
Saved in:
6
Regime switching in stochastic models of commodity prices : an application to an optimal tree harvesting problem
Chen, Shan
;
Insley, Margaret
- In:
Journal of economic dynamics & control
36
(
2012
)
2
,
pp. 201-219
Persistent link: https://www.econbiz.de/10009489614
Saved in:
7
The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng
;
Tang, Ke
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 211-224
Persistent link: https://www.econbiz.de/10009301130
Saved in:
8
Commodity price dynamics and derivative valuation : a review
Back, Janis
;
Prokopczuk, Marcel
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
Saved in:
9
Pricing commodity swaptions in multifactor models
Larsson, Karl
- In:
The journal of derivatives : the official publication …
19
(
2011
)
2
,
pp. 32-44
Persistent link: https://www.econbiz.de/10009413614
Saved in:
10
A multifactor stochastic
volatility
model of commodity prices
Cortazar, Gonzalo
;
Lopez, Matias
;
Naranjo, Lorenzo
- In:
Energy economics
67
(
2017
),
pp. 182-201
Persistent link: https://www.econbiz.de/10011897898
Saved in:
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