Narrow search
Showing 1 - 10 of 10,670
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
Cover Image
Selected methods of securing the refining sector against crude oil price fluctuations
Łamasz, Bartosz; Iwaszczuk, Natalia; Ivashchuk, Oleksandr - In: International journal of management and economics 54 (2018) 3, pp. 197-209
The contemporary refining sector has to contend with many types of risks, among which price risk is considered to be the foremost. Moreover, refineries define it as a commodity risk and identify it with both opportunities and threats carried by changes in prices of crude oil and products of...
Persistent link: https://www.econbiz.de/10012027171
Cover Image
Convenience yield and the theory of storage : applying an option-based approach
Omura, Akihiro; West, Jason - In: The Australian journal of agricultural and resource … 59 (2015) 3, pp. 355-374
Persistent link: https://www.econbiz.de/10011392918