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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
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Risk-averse and risk-seeking investor preferences for oil spot and futures
Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10010191274
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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
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2006
Persistent link: https://www.econbiz.de/10003332143
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A Bayesian analysis of unobserved componment models using ox
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907811
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907815
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …
Persistent link: https://www.econbiz.de/10010533201