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Computing the market price of volatility risk in the energy commodity markets · Study

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ArticleComputing the market price of volatility risk in the energy commodity markets

James S. Doran2008

OA

Articlegreen2008

Computing the market price of volatility risk in the energy commodity markets

James S. Doran · Ehud I. Ronn

107 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1973The Pricing of Options and Corporate Liabilities 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987Expected stock returns and volatility 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

Cited by

2017Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis 2010Risk factors in oil and gas industry returns: International evidence 2017“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets 2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1 2011The Implied Market Price of Weather Risk

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Details

Year2008

Typearticle

Published2008-04-24

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations107

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2008.04.003

openalex_workW2011121062

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2010Variance Risk Premia in Energy Commodities

2012Seasonality and the valuation of commodity options

2020Copula-based local dependence among energy, agriculture and metal commodities markets