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Options and portfolio insurance

Schwartz, Eduardo S. - In: Finanzmarkt und Portfolio-Management 1 (1986) 1, pp. 9-17

Persistent link: https://www.econbiz.de/10001218920

The stochastic behavior of commodity prices : implications for valuation and hedging

Schwartz, Eduardo S. - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 923-973

Persistent link: https://www.econbiz.de/10001225632

Why do we smile? : On the determinants of the implied volatility function

Peña Sánchez de Rivera, Juan Ignacio; Rubio, Gonzalo; … - In: Journal of banking & finance 23 (1999) 8, pp. 1151-1179

Persistent link: https://www.econbiz.de/10001391604

Modelling electricity swaps with stochastic forward premium models

Blanco, Iván; Peña Sánchez de Rivera, Juan Ignacio; … - In: The energy journal 39 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011825389

Modelling Electricity Swaps with Stochastic Forward Premium Models

Blanco, Iván - 2017

We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors affect each contract. General factors are average swap prices and deterministic trend-seasonal components, and unique factors are forward premiums. Innovations follow MNIG...

Persistent link: https://www.econbiz.de/10012966945

Unspanned stochastic volatility and the pricing of commodity derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - In: The review of financial studies 22 (2009) 11, pp. 4423-4461

Persistent link: https://www.econbiz.de/10003896317

Commercial office space : testing the implications of real options models with competitive interactions

Schwartz, Eduardo S.; Torous, Walter N. - In: Real estate economics : journal of the American Real … 35 (2007) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10003487055

Trading activity in the equity market and its contingent claims : an empirical investigation

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of empirical finance 28 (2014), pp. 13-35

Persistent link: https://www.econbiz.de/10011284514

Cash flow multipliers and optimal investment decisions

Kraft, Holger; Schwartz, Eduardo S. - In: European financial management : the journal of the … 21 (2015) 3, pp. 399-429

Persistent link: https://www.econbiz.de/10011317999

The real options approach to valuation : challenges and opportunities

Schwartz, Eduardo S. - In: Latin American journal of economics : LAJE 50 (2013) 2, pp. 163-177

Persistent link: https://www.econbiz.de/10010256384