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Option valuation, optimization...
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Derivative
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McAleer, Michael
69
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55
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48
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45
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42
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37
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32
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29
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Multi Commodity Exchange of India Limited
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Deutsche Börse AG
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Federal Reserve Bank of St. Louis
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Chartered Alternative Investment Analyst Association
1
Chicago Mercantile Exchange
1
Commodity Exchange Authority, Washington, D. C.
1
Commodity Research Bureau, inc.
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International journal of theoretical and applied finance
252
Energy economics
247
The journal of futures markets
234
Finance research letters
158
Journal of banking & finance
157
Quantitative finance
157
Applied mathematical finance
129
International review of financial analysis
102
The journal of computational finance
95
Mathematical finance : an international journal of mathematics, statistics and financial theory
90
The North American journal of economics and finance : a journal of financial economics studies
90
International review of economics & finance : IREF
89
Review of derivatives research
81
European journal of operational research : EJOR
80
Economic modelling
79
Applied economics
70
Finance and stochastics
70
Journal of mathematical finance
69
Risks : open access journal
69
Computational economics
66
International journal of financial engineering
65
Journal of economic dynamics & control
64
The European journal of finance
63
The journal of derivatives : the official publication of the International Association of Financial Engineers
63
Journal of empirical finance
62
Journal of financial economics
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Journal of econometrics
58
Journal of risk and financial management : JRFM
56
Research paper series / Swiss Finance Institute
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Working paper
51
Applied economics letters
49
NBER working paper series
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Research in international business and finance
49
Insurance / Mathematics & economics
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Annals of finance
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Review of quantitative finance and accounting
42
Working paper / National Bureau of Economic Research, Inc.
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NBER Working Paper
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The journal of asset management
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ECONIS (ZBW)
10,773
EconStor
2
RePEc
1
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1
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of
10,776
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date (oldest first)
1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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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