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Pricing of Derivatives on Commodity Indices
Rauch, Johannes - 2014
This paper introduces a novel method for pricing commodity index derivatives consistently with market prices of … and barrier options on the Dow Jones UBS Commodity Index by replicating the index with a portfolio of correlated single …
Persistent link: https://www.econbiz.de/10013065589
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Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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Measuring index investment in commodity futures markets
Sanders, Dwight R.; Irwin, Scott H. - In: The energy journal 34 (2013) 3, pp. 105-127
Persistent link: https://www.econbiz.de/10009771880
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A study of first generation commodity indices : indices based on financial diversification
Ahn, Jung-Hyun; Six, Pierre - In: Finance research letters 30 (2019), pp. 194-200
Persistent link: https://www.econbiz.de/10012420486
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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504
Persistent link: https://www.econbiz.de/10011441684
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Optimal hedging strategy with futures oil markets via FIEGARCH copula model
Ifa, Dhoifli; Ghorbel, Ahmed - In: American journal of finance and accounting 4 (2015/2016) 2, pp. 151-171
Persistent link: https://www.econbiz.de/10011607085
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Pricing of derivatives on commodity indices
Rauch, Johannes; Krayzler, Mikhail; Brunner, Bernhard; … - In: International review of financial analysis 29 (2013), pp. 143-151
Persistent link: https://www.econbiz.de/10010244113
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The order flow cost of index rolling in commodity futures markets
Irwin, Scott H.; Sanders, Dwight R.; Yan, Lei - In: Applied economic perspectives and policy 45 (2023) 2, pp. 1025-1050
Persistent link: https://www.econbiz.de/10014315487
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Do commodity index traders destabilize agricultural futures prices?
Bohl, Martin T.; Javed, Farrukh; Stephan, Patrick Maurice - In: Applied economics quarterly 59 (2013) 2, pp. 125-148
Persistent link: https://www.econbiz.de/10010198708
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Commodity Market Indicators of a 2022 Texas Winter Freeze
Ronn, Ehud I. - 2021
Winter storm Uri impacted large swaths of the Continental United States, including the State of Texas, over the period Feb. 13 -- Feb. 17, 2021. This research attempts to discern what the natgas and power commodity markets are anticipating for Texas for the First Quarter of 2022. As of this...
Persistent link: https://www.econbiz.de/10013213864