Estimating and pricing commodity futures with time‐delay stochastic processes
暂无分享,去创建一个
[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 .