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Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process
16 references·0 citing·34 second hop
Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process (2011)Efficient pricing of commodity options wi…Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing early-exercise and di…A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Continuous Martingales and Brownian Motion (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Equilibrium Forward Curves for Commodities (2000)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Relative Contribution of Jumps to Total Price Variance (2005)What's Vol Got to Do with It (2010)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

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473 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
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