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From the Samuelson Volatility Effect to a Samuelson Correlation Effect : An Analysis of Crude Oil Calendar Spread Options

Schneider, Lorenz - 2019

Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the …

Persistent link: https://www.econbiz.de/10012904698

The Forward Smile in Local-Stochastic Volatility Models

Mazzon, Andrea - 2015

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …

Persistent link: https://www.econbiz.de/10013028825

Jumps in the convenience yield of crude oil

Mason, Charles F.; Wilmot, Neil A. - In: Resource and energy economics 60 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012515262

The impact of global energy price volatility on oil derivative and local price in Jordan : using DCC-GARCH model

Adailah, Radi Mohammad; Al-Damour, Saba Bassam; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 336-348

Persistent link: https://www.econbiz.de/10014486378

The forecasting efficacy of risk-neutral mopments for crude oil volatility

Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, … - In: Journal of forecasting 34 (2015) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10011305272

Carr and Wu's (2020) framework in the oil ETF option market

Jia, Xiaolan; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of commodity markets 31 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477744

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

Christoffersen, Peter - 2020

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and...

Persistent link: https://www.econbiz.de/10012850215