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Forecasting option smile dynamics
Le, Van; Zurbruegg, Ralf - In: International review of financial analysis 35 (2014), pp. 32-45
Persistent link: https://www.econbiz.de/10010529632
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An option theoretic approach to market efficiency
Bhattacharya, Rajeev R. - In: Annals of financial economics 14 (2019) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10012226607
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Testing the informativeness of non-price variables with MIDAS touch
Kotyan, Avinash; Mallikarjunappa, T. - In: IIMB management review 32 (2020) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10012489685
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Computing the market price of volatility risk in the energy commodity markets
Doran, James S.; Ronn, Ehud I. - In: Journal of banking & finance 32 (2008) 12, pp. 2541-2552
Persistent link: https://www.econbiz.de/10003795774
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Intermediate volatility forecasts using implied forward volatility : the performance of selected agricultural commodity options
Egelkraut, Thorsten Michael; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 31 (2006) 3, pp. 508-528
Persistent link: https://www.econbiz.de/10003416262
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The behavior of the implied volatility surface : evidence from crude oil futures options
Bouden, Amine - In: Risk management and value : valuation and asset price, (pp. 151-175). 2008
Persistent link: https://www.econbiz.de/10003686175
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Volatility and price information contained in selected agricultural futures options
Egelkraut, Thorsten Michael - 2005
Persistent link: https://www.econbiz.de/10003380192
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A maximal affine stochastic volatility model of oil prices
Hughen, W. Keener - In: The journal of futures markets 30 (2010) 2, pp. 101-133
Persistent link: https://www.econbiz.de/10003962429
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The return-implied volatility relation for commodity ETFs
Padungsaksawasdi, Chaiyuth; Daigler, Robert T. - In: The journal of futures markets 34 (2014) 3, pp. 261-281
Persistent link: https://www.econbiz.de/10010355434
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016
In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...
Persistent link: https://www.econbiz.de/10011507774