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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

Commodity Price Dynamics and Derivatives Valuation : A Review

Back, Janis - 2013

This paper reviews extant research on commodity price dynamics and commodity derivatives pricing models. In the first half, we provide an overview of stylized facts of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half,...

Persistent link: https://www.econbiz.de/10013090406

Convergence to efficiency in FTSE-100 futures market

Lien, Da-hsiang Donald; Xiang, Ju - In: International journal of financial markets and derivatives 1 (2010) 3, pp. 243-257

Persistent link: https://www.econbiz.de/10008665689

Estimating optimal hedge ratio : a multivariate skew-normal distribution approach

Lien, Da-hsiang Donald; Shrestha, Keshab - In: Applied financial economics 20 (2010) 7/9, pp. 627-636

Persistent link: https://www.econbiz.de/10009009324

Essays on the valuation of commodity derivatives

Back, Janis - 2011

Persistent link: https://www.econbiz.de/10009546260

Humps in the volatility structure of the crude oil futures market : new evidence

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000

Persistent link: https://www.econbiz.de/10010355994

A survey on physical delivery versus cash settlement in futures contracts

Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: International review of economics & finance : IREF 15 (2006) 1, pp. 15-29

Persistent link: https://www.econbiz.de/10003298476

Downside risk for short long hedgers

Demirer, Rıza; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 12 (2003) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10001770018

Pricing of long-dated commodity derivatives : do stochastic interest rates matter?

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166

Persistent link: https://www.econbiz.de/10011966734

Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015

Persistent link: https://www.econbiz.de/10011777512