Three-factor commodity forward curve model and its joint P and Q dynamics
Sergiy Ladokhin, Svetlana Borovkova
| Year of publication: |
2021
|
|---|---|
| Authors: | Ladokhin, Sergiy ; Borovkova, Svetlana |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 101.2021, p. 1-15
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| Subject: | Brent oil futures | Commodity forward curve | Derivatives pricing | Joint dynamics model | Kalman filter | Oil futures | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Derivat | Derivative | Ölpreis | Oil price | Zustandsraummodell | State space model | Warenbörse | Commodity exchange | Erdgas | Natural gas | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2021.105418 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013161542