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A Two-Factor Model for Commodity Prices and Futures Valuation · Study

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PreprintA Two-Factor Model for Commodity Prices and Futures Valuation

Diana Ribeiro2004

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Preprintgreen2004

A Two-Factor Model for Commodity Prices and Futures Valuation

Diana Ribeiro · Stewart D. Hodges

46 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1985Evaluating Natural Resource Investments 1990Pricing Interest-Rate-Derivative Securities 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims

Cited by

2016Speculative Futures Trading under Mean Reversion 2012Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts 2017An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand 2010Naïve learning algorithms utilized for the prediction of stock prices to compare economic models of decision making

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2006AnN‐factor Gaussian model of oil futures pricesarticle · 11 shared references 2005Term Structure Models of Commodity Pricesarticle · 10 shared references 2008Unspanned Stochastic Volatility and the Pricing of Commodity Derivativespreprint · 9 shared references 2002Modeling seasonality in agricultural commodity futuresarticle · 8 shared references 2002Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeanspreprint · 8 shared references 2010The Stochastic Behavior of Commodity Prices with Heteroscedasticity in the Convenience Yieldarticle · 8 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.498802

openalex_workW2155148780

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