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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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The term structure of systematic and idiosyncratic risk
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...
Persistent link: https://www.econbiz.de/10011751173
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Jump and variance risk premia in the S&P 500
Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83
Persistent link: https://www.econbiz.de/10011635040
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Seasonal stochastic volatility : implications for the pricing of commodity options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - 2011
Persistent link: https://www.econbiz.de/10009375485
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Time-variations in commodity price jumps
Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
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Jumps in Commodity Markets
Nguyen, Duc Binh Benno - 2019
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...
Persistent link: https://www.econbiz.de/10012900597
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Time-Variations in Commodity Price Jumps
Diewald, Laszlo - 2019
, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …
Persistent link: https://www.econbiz.de/10012905261
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Seasonal Stochastic Volatility : Implications for the Pricing of Commodity Options
Arismendi-Zambrano, Juan - 2019
Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this … paper, the importance of seasonal behavior in the volatility for the pricing of commodity options is analyzed. We propose a … option valuation formulas are derived. We then empirically study the impact of the proposed seasonal stochastic volatility …
Persistent link: https://www.econbiz.de/10012905864
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Pricing and hedging in the freight futures market
Prokopczuk, Marcel - In: The journal of futures markets 31 (2011) 5, pp. 440-464
Persistent link: https://www.econbiz.de/10009009224
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American option valuation : implied calibration of GARCH pricing models
Weber, Michael; Prokopczuk, Marcel - In: The journal of futures markets 31 (2011) 10, pp. 971-994
Persistent link: https://www.econbiz.de/10009355752