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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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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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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
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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
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Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
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Commodity price dynamics and derivative valuation : a review
Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10010197182