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An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
3 references·0 citing·16 second hopsampled
An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand (2017)An application of Ornstein-Uhlenbeck proc…Jackknifing Bond Option Prices (2005)Jackknifing Bond Option PricesA Two-Factor Model for Commodity Prices and Futures Valuation (2004)A Two-Factor Model for Commod…Equilibrium Forward Curves for Commodities (2000)Equilibrium Forward Curves fo…Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Options, Futures and Other Derivatives (2003)Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Oil Prices and the Stock Market (2012)Limits to arbitrage and hedging: Evidence from commodity markets (2013)An equilibrium characterization of the term structure (1977)Time Series Regression with a Unit Root (1987)Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2009)Bias in the estimation of the mean reversion parameter in continuous time models (2012)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Naïve learning algorithms utilized for the prediction of stock prices to compare economic models of decision making (2010)Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts (2012)Speculative Futures Trading under Mean Reversion (2016)
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References

  • 2000Equilibrium Forward Curves for Commodities475 cited
  • 2005Jackknifing Bond Option Prices111 cited
  • 2004A Two-Factor Model for Commodity Prices and Futures Valuation46 cited

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