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Seasonal stochastic volatility : implications for the pricing of commodity options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - 2011
Persistent link: https://www.econbiz.de/10009375485
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Seasonality and the valuation of commodity options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - 2010
Persistent link: https://www.econbiz.de/10009375861
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American option valuation : implied calibration of GARCH pricing-models
Weber, Michael; Prokopczuk, Marcel - 2010
Persistent link: https://www.econbiz.de/10009375875
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An empirical model comparison for valuing vrack spread options
Mahringer, Steffen; Prokopczuk, Marcel - 2010
Persistent link: https://www.econbiz.de/10009375892
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American option valuation : implied calibration of GARCH pricing models
Weber, Michael; Prokopczuk, Marcel - In: The journal of futures markets 31 (2011) 10, pp. 971-994
Persistent link: https://www.econbiz.de/10009355752
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Commodity price dynamics and derivative valuation : a review
Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
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Seasonality and the valuation of commodity options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - In: Journal of banking & finance 37 (2013) 2, pp. 273-290
Persistent link: https://www.econbiz.de/10009705701
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The case of negative day-ahead electricity prices
Fanone, Enzo; Gamba, Andrea; Prokopczuk, Marcel - In: Energy economics 35 (2013), pp. 22-34
Persistent link: https://www.econbiz.de/10009715221
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Credit risk in covered bonds
Prokopczuk, Marcel; Siewert, Jan B.; Vonhoff, Volker - In: Journal of empirical finance 21 (2013), pp. 102-120
Persistent link: https://www.econbiz.de/10009745284
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The importance of the volatility risk premium for volatility forecasting
Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320
Persistent link: https://www.econbiz.de/10010402181