Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

16 references·5 citing·35 second hop

FromToDepth

this work references cited by second hop

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1985A Theory of the Term Structure of Interest Rates8,333 cited
2007Brownian Motion and Stochastic Calculus7,421 cited
2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
1998Brownian Motion and Stochastic Calculus2,043 cited
1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
2000Derivatives in Financial Markets with Stochastic Volatility916 cited
2000Energy derivatives : pricing and risk management495 cited
2003Energy and power risk management : new developments in modeling, pricing and hedging347 cited
1998Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates247 cited
2002Energy and Power Risk Management239 cited
1994The Valuation of Commodity Contingent Claims192 cited
2003Singular Perturbations in Option Pricing187 cited
2000MEAN-REVERTING STOCHASTIC VOLATILITY176 cited
2008Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives108 cited

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

2002Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans95 cited

Cited by

2014Modelling Electricity Futures by Ambit Fields41 cited
2014Implied Volatility of Leveraged ETF Options39 cited
2021A survey of electricity spot and futures price models for risk management applications33 cited
2015Optimal switching decisions under stochastic volatility with fast mean reversion27 cited
2011A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes27 cited