In this paper, we treat output as a decision variable. Moreover, we employ a general form of basis risk. Furthermore, we relax the statistical-independence assumption between the spot price and basis risk.

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

In this paper, we treat output as a decision variable. Moreover, we employ a general form of basis risk. Furthermore, we relax the statistical-independence assumption between the spot price and basis risk.

This paper extends the existing estimation methods to allow estimation under simultaneous price and output uncertainty. In contrast with the previous literature, our approach is applicable to the direct and indirect utility functions and does not require specification and estimation of the...

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...