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Commodity spread option pricing and the economic fundamentals of crack spreads

Kolpakov, Ilya - 2014

Persistent link: https://www.econbiz.de/10010516044

Time-variations in commodity price jumps

Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84

Persistent link: https://www.econbiz.de/10011489343

An analysis of the fish pool market in the context of seasonality and stochastic convenience yield

Ewald, Christian-Oliver; Ouyang, Ruolan - In: Marine resource economics 32 (2017) 4, pp. 431-449

Persistent link: https://www.econbiz.de/10011761821

Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina

Mendez Parra, Maximiliano - Volkswirtschaftliche Fakultät, … - 2015

domestic supply of three agricultural commodities in Argentina between 1994 and 2008, which observe the patterns of seasonality …Monthly time-series data based on agricultural commodities tend to present strong and particular patterns of … seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of …

Persistent link: https://www.econbiz.de/10011266121

Risky times : seasonality and event risk of commodities

Boos, Dominik - In: The journal of futures markets 44 (2024) 5, pp. 767-783

Persistent link: https://www.econbiz.de/10014536682

Financiarisation des marchés de matières premières

Lambinet, Rémy - Université Paris-Dauphine (Paris IX) - 2014

instruments or larger investments in these markets. The first chapter of this thesis are studying the impact on commodities of … Exchange-Traded Products (ETPs) whose purpose is to provide investors a passive exposure to commodities. During this study, it … traditionally this function was performed by the futures market. The final chapter of this PhD thesis is studying seasonality in …

Persistent link: https://www.econbiz.de/10011144051

Can standard preferences explain the prices of out-of-the-money S&P 500 put options?

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011

The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient...

Persistent link: https://www.econbiz.de/10010292137

Explaining asset pricing puzzles associated with the 1987 market crash

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...

Persistent link: https://www.econbiz.de/10010292171

Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation

Franzke, Stefanie A.; Schlag, Christian - 2002

Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price....

Persistent link: https://www.econbiz.de/10010292627

Extracting risk-neutral probability distributions from option prices using trading volume as a filter

Dupont, Dominique Y. - 2001

This paper introduces a new technique to infer the risk-neutral probability distribution of an asset from the prices of options on this asset. The technique is based on using the trading volume of each option as a proxy of the informativeness of the option. Not requiring the implied probability...

Persistent link: https://www.econbiz.de/10010292748