Estimating and pricing commodity futures with time‐delay stochastic processes

[1]  N. Nomikos,et al.  Estimating risk‐neutral freight rate dynamics: A nonparametric approach , 2021, Journal of Futures Markets.

[2]  B. LeBaron,et al.  Nonlinear Dynamics and Stock Returns , 2021, Cycles and Chaos in Economic Equilibrium.

[3]  Yaozhong Hu,et al.  Jump Models with Delay—Option Pricing and Logarithmic Euler–Maruyama Scheme , 2020, Mathematics.

[4]  G. Nappo,et al.  A Feynman-Kac type formula for a fixed delay CIR model , 2018, Stochastic Analysis and Applications.

[5]  Z. Habibilashkary,et al.  A multiplicative seasonal component in commodity derivative pricing , 2018, J. Comput. Appl. Math..

[6]  F. Benth,et al.  Pricing of Commodity Derivatives on Processes with Memory , 2017, Risks.

[7]  A. Chunxiang,et al.  Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model , 2017 .

[8]  M. Lee,et al.  A delayed stochastic volatility correction to the constant elasticity of variance model , 2016 .

[9]  A. Novales,et al.  Long-Term Swings and Seasonality in Energy Markets , 2016, Eur. J. Oper. Res..

[10]  Ioannis Kyriakou,et al.  Affine‐Structure Models and the Pricing of Energy Commodity Derivatives , 2015 .

[11]  Neil D. Pearson,et al.  New Evidence on the Financialization of Commodity Markets , 2014 .

[12]  Antoine Tambue,et al.  A stochastic delay model for pricing debt and equity: Numerical techniques and applications , 2013, Commun. Nonlinear Sci. Numer. Simul..

[13]  Xuerong Mao,et al.  Delay geometric Brownian motion in financial option valuation , 2013 .

[14]  Hélyette Geman,et al.  Theory of storage, inventory and volatility in the LME base metals , 2013 .

[15]  S. Mohammed,et al.  A STOCHASTIC DELAY MODEL FOR PRICING DEBT AND LOAN GUARANTEES: Theoretical results , 2012, 1210.0570.

[16]  Chris Brooks,et al.  The dynamics of commodity prices , 2011, Quantitative Finance.

[17]  Anatoliy Swishchuk,et al.  Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps , 2011 .

[18]  Yaozhong Hu,et al.  A Delayed Black and Scholes Formula , 2006, math/0604640.

[19]  R. Pindyck VOLATILITY AND COMMODITY PRICE DYNAMICS , 2004 .

[20]  J. Benhabib Interest Rate Policy in Continuous Time with Discrete Delays , 2004 .

[21]  Xuemin (Sterling) Yan Valuation of commodity derivatives in a new multi-factor model , 2002 .

[22]  Carsten Sørensen,et al.  Modeling seasonality in agricultural commodity futures , 2002 .

[23]  Eduardo S. Schwartz,et al.  Short-Term Variations and Long-Term Dynamics in Commodity Prices , 2000 .

[24]  Jimmy E. Hilliard,et al.  Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot , 1998, Journal of Financial and Quantitative Analysis.

[25]  Richard Stanton A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk , 1997 .

[26]  Eduardo S. Schwartz The stochastic behavior of commodity prices: Implications for valuation and hedging , 1997 .

[27]  Eduardo S. Schwartz,et al.  Stochastic Convenience Yield and the Pricing of Oil Contingent Claims , 1990 .

[28]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[29]  E. Fama,et al.  EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[30]  Kiseop Lee,et al.  A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION , 2019 .

[31]  Lourdes Gómez-Valle,et al.  A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models , 2017, J. Comput. Appl. Math..

[32]  A. Swishchuk,et al.  A CONTINUOUS-TIME GARCH MODEL FOR STOCHASTIC VOLATILITY WITH DELAY , 2005 .

[33]  Victor L. Bernard,et al.  POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM , 1989 .

[34]  Eduardo S. Schwartz,et al.  Evaluating Natural Resource Investments , 1985 .