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Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? · Study

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ArticlePricing of long-dated commodity derivatives: Do stochastic interest rates matter?

Benjamin Cheng2017

Article2017

Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?

Benjamin Cheng · Christina Sklibosios Nikitopoulos · Erik Schlögl

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

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Stochastic processes and financial applications Market Dynamics and Volatility Risk Management in Financial Firms

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References

1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1990Forecasting, Structural Time Series Models and the Kalman Filter 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1987Parsimonious Modeling of Yield Curves 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1996A YIELD‐FACTOR MODEL OF INTEREST RATES

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2016A Multifactor Stochastic Volatility Model of Commodity Pricesarticle · 13 shared references 2008Unspanned Stochastic Volatility and the Pricing of Commodity Derivativespreprint · 12 shared references 2016Seasonal Stochastic Volatility: Implications for the pricing of commodity optionsarticle · 12 shared references 2013Humps in the volatility structure of the crude oil futures market: New evidencearticle · 12 shared references 2012Seasonality and the valuation of commodity optionsarticle · 11 shared references 2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamicsarticle · 11 shared references

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Year2017

Typearticle

Published2017-05-28

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2017.05.012

openalex_workW2617895141

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