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Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Benth, Fred Espen - 2014

We analyse cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility and correlation in the context of our spot price...

Persistent link: https://www.econbiz.de/10013044930

Pricing of forwards and other derivatives in cointegrated commodity markets

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011568135

How fair-value accounting can influence firm hedging

Beisland, Leif Atle; Frestad, Dennis - In: Review of derivatives research 16 (2013) 2, pp. 193-217

Persistent link: https://www.econbiz.de/10009774393

Hedge effectiveness testing as a screening mechanism for hedge accounting : does it work?

Frestad, Dennis; Beisland, Leif Atle - In: Journal of accounting, auditing & finance 30 (2015) 1, pp. 35-56

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Predictive power and unbiasedness of implied forward charter rates

Alizadeh-Masoodian, Amir H.; Ådland, Roar Os; … - In: Journal of forecasting 26 (2007) 6, pp. 385 - 403

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Warren Buffett versus Zvi Bodie : should you buy or sell put options?

Koekebakker, Steen; Zakamulin, Valeriy - In: The journal of wealth management : JWM 24 (2021) 2, pp. 65-81

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On forward price modeling in power markets

Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010

Persistent link: https://www.econbiz.de/10008655206

On arbitrage-free pricing of weather derivatives based on fractional Brownian motion

Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324

Persistent link: https://www.econbiz.de/10001864238

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

Pricing of exotic energy derivatives based on arithmetic spot models

Benth, Fred Espen; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 491-506

Persistent link: https://www.econbiz.de/10003879078