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Analysis about the black-scholes asset price under the regime-switching framework
Tian, Ping; Zhou, Hang; Zhou, Duotai - In: International review of financial analysis 88 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014471870
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng; Tang, Ke - In: Journal of empirical finance 18 (2011) 2, pp. 211-224
Persistent link: https://www.econbiz.de/10009301130
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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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Approximation for convenience yield with mean-reverting commodity price
Zhao, Qiang; Gu, Guiding - In: Journal of mathematical finance 5 (2015) 3, pp. 233-242
Persistent link: https://www.econbiz.de/10011438485
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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504
Persistent link: https://www.econbiz.de/10011441684
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A Bayesian nonparametric investigation of the predictive effect of exchange rates on commodity prices
Jin, Xin - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 179-210
Persistent link: https://www.econbiz.de/10012670623
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Modelling and estimating the forward price curve in the energy market
Chiarella, Carl; Chewlow, Les; King, Boda - 2009
Persistent link: https://www.econbiz.de/10008662359
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Imperfect information and saving in a small open economy
Daude, Christian; Roitman, Agustin - 2011
Persistent link: https://www.econbiz.de/10009486211
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Filtering and forecasting commodity futures prices under an HMM framework
Date, Paresh; Mamon, Rogemar; Tenyakov, Anton - In: Energy economics 40 (2013), pp. 1001-1013
Persistent link: https://www.econbiz.de/10010355984