SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Options on futures spreads: Hedging, speculation, and valuation
16 references·13 citing·34 second hop
Options on futures spreads: Hedging, speculation, and valuation (1994)Options on futures spreads: Hedging, spec…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Corporate Risk Management and the Incentive Effects of Debt (1990)Corporate Risk Management and…The Valuation of Sequential Exchange Opportunities (1988)The Valuation of Sequential E…The Valuation of Options on Futures Contracts (1985)The Valuation of Options on F…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …The relation between forward prices and futures prices (1981)The relation between forward …THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of commodity contracts (1976)The pricing of commodity cont…A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY (1976)A SURVEY OF SOME NEW RESULTS …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)The Random Character of Stock…Théorie de la spéculation (1900)Théorie de la spéculationClosed Form Approximations for Spread Options (2011)Closed Form Approximations fo…Pricing a CDO on stochastically correlated underlyings (2009)Pricing a CDO on stochastical…Pricing bivariate option under GARCH processes with time-varying copula (2008)Pricing bivariate option unde…Long term spread option valuation and hedging (2008)Long term spread option valua…Multi-Asset Spread Option Pricing and Hedging (2007)Multi-Asset Spread Option Pri…Closed-Form Approximations for Spread Option Prices and Greeks (2006)Closed-Form Approximations fo…Bivariate normal mixture spread option valuation (2004)Bivariate normal mixture spre…Spark spread options and the valuation of electricity generation assets (2003)Spark spread options and the …Nonparametric Pricing of Multivariate Contingent Claims (2003)Nonparametric Pricing of Mult…Non-Parametric Pricing of Multivariate Contingent Claims (2003)Non-Parametric Pricing of Mul…Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market (2002)Principal components analysis…Spread options, exchange options, and arithmetic Brownian motion (1998)Spread options, exchange opti…Pricing multivariate contingent claims using estimated risk–neutral density functions (1998)Pricing multivariate continge…Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)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)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)Determinants of corporate borrowing (1977)Entry and Exit Decisions under Uncertainty (1989)Irreversibility, Uncertainty, and Investment (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)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)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 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
  • 1968The Random Character of Stock Market Prices926 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1988The Valuation of Sequential Exchange Opportunities269 cited
  • 1976A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY170 cited
  • 1985The Valuation of Options on Futures Contracts143 cited
  • 1990Corporate Risk Management and the Incentive Effects of Debt

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

121 cited

Cited by

  • 2003Non-Parametric Pricing of Multivariate Contingent Claims79 cited
  • 2008Long term spread option valuation and hedging69 cited
  • 1998Spread options, exchange options, and arithmetic Brownian motion68 cited
  • 2007Multi-Asset Spread Option Pricing and Hedging53 cited
  • 2011Closed Form Approximations for Spread Options45 cited
  • 1998Pricing multivariate contingent claims using estimated risk–neutral density functions42 cited
  • 2002Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market39 cited
  • 2003Nonparametric Pricing of Multivariate Contingent Claims39 cited
  • 2003Spark spread options and the valuation of electricity generation assets33 cited
  • 2004Bivariate normal mixture spread option valuation32 cited
  • 2006Closed-Form Approximations for Spread Option Prices and Greeks30 cited
  • 2008Pricing bivariate option under GARCH processes with time-varying copula29 cited
  • 2009Pricing a CDO on stochastically correlated underlyings21 cited