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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
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A structural risk-neutral model of electricity prices
Ai͏̈d, René; Campi, Luciano; Huu, Adrien Nguyen; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 925-947
Persistent link: https://www.econbiz.de/10003928763
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Regime-switched volatility of brent crude oil futures with Markov-switching ARCH model
Chiu, Tien-yu; Shieh, Shwu-Jane - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 113-124
Persistent link: https://www.econbiz.de/10003855754
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Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
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Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10012271026