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Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market
15 references·1 citing·37 second hop
Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market (2002)Principal components analysis for correla…Spread options, exchange options, and arithmetic Brownian motion (1998)Spread options, exchange opti…A Closed-Form Approximation for Valuing Basket Options (1998)A Closed-Form Approximation f…An Efficient Approach for Pricing Spread Options (1995)An Efficient Approach for Pri…The Valuation of Commodity Contingent Claims (1994)The Valuation of Commodity Co…Options on futures spreads: Hedging, speculation, and valuation (1994)Options on futures spreads: H…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation (1990)Bond Pricing and the Term Str…An investigation into seasonality in the futures market (1987)An investigation into seasona…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Merchant Commodity Storage and Term-Structure Model Error (2015)Merchant Commodity Storage an…Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)A Quick Algorithm for Pricing European Average Options (1991)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Optimal Portfolio Choice under Loss Aversion (2004)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Theory of the Term Structure of Interest Rates (1985)Evaluating Natural Resource Investments (1985)Oil Price Uncertainty (2010)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Modern factor analysis (1960)Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments (2001)Modeling seasonality in agricultural commodity futures (2002)Implementing a stochastic model for oil futures prices (2003)Stochastic Differential Equations and Diffusion Processes (1983)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)WHEN IS THE SHORT RATE MARKOVIAN? (1994)VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)Interpolation Methods for Curve Construction (2006)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation341 cited
  • 1994The Valuation of Commodity Contingent Claims192 cited
  • 1998A Closed-Form Approximation for Valuing Basket Options116 cited
  • 1994Options on futures spreads: Hedging, speculation, and valuation86 cited
  • 1998Spread options, exchange options, and arithmetic Brownian motion68 cited
  • 1987An investigation into seasonality in the futures market68 cited
  • 1995An Efficient Approach for Pricing Spread Options

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  • 2015Merchant Commodity Storage and Term-Structure Model Error32 cited