An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield

Christian-Oliver Ewald; Ruolan Ouyang

doi:10.1086/693375

An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield

Marine Resource Economics ◽

10.1086/693375 ◽

2017 ◽

Vol 32 (4) ◽

pp. 431-449 ◽

Cited By ~ 6

Author(s):

Christian-Oliver Ewald ◽

Ruolan Ouyang

Keyword(s):

Convenience Yield ◽

Pool Market ◽

Stochastic Convenience Yield

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Pricing Asian Options with Stochastic Convenience Yield and Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.3516694 ◽

2020 ◽

Author(s):

Christian-Oliver Ewald ◽

Yuexiang Wu ◽

Aihua Zhang

Keyword(s):

Asian Options ◽

Convenience Yield ◽

Stochastic Convenience Yield

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Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

SSRN Electronic Journal ◽

10.2139/ssrn.3549778 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Convenience Yield ◽

Linear Quadratic ◽

Jump Diffusion Model ◽

Futures And Options ◽

Stochastic Convenience Yield

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Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

SSRN Electronic Journal ◽

10.2139/ssrn.3555109 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Convenience Yield ◽

Linear Quadratic ◽

Jump Diffusion Model ◽

Futures And Options ◽

Stochastic Convenience Yield

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The Impact of Stochastic Convenience Yield on Long-Term Forestry Investment Decisions

SSRN Electronic Journal ◽

10.2139/ssrn.3192599 ◽

2012 ◽

Cited By ~ 2

Author(s):

Shan Chen ◽

Margaret C. Insley ◽

Tony S. Wirjanto

Keyword(s):

Investment Decisions ◽

Convenience Yield ◽

The Impact ◽

Stochastic Convenience Yield

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Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2020.109849 ◽

2020 ◽

Vol 137 ◽

pp. 109849

Author(s):

Zonggang Ma ◽

Chaoqun Ma ◽

Zhijian Wu

Keyword(s):

Closed Form ◽

Analytical Solutions ◽

Convenience Yield ◽

Agricultural Futures ◽

Stochastic Convenience Yield

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Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods

Review of Derivatives Research ◽

10.1007/s11147-021-09181-9 ◽

2021 ◽

Author(s):

Zonggang Ma ◽

Chaoqun Ma ◽

Zhijian Wu

Keyword(s):

Interest Rate ◽

Credit Risk ◽

Mellin Transform ◽

Convenience Yield ◽

Transform Methods ◽

Counterparty Credit Risk ◽

Stochastic Convenience Yield

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Stochastic Convenience Yield and the Pricing of Oil Contingent Claims

The Journal of Finance ◽

10.1111/j.1540-6261.1990.tb05114.x ◽

1990 ◽

Vol 45 (3) ◽

pp. 959-976 ◽

Cited By ~ 469

Author(s):

RAJNA GIBSON ◽

EDUARDO S. SCHWARTZ

Keyword(s):

Contingent Claims ◽

Convenience Yield ◽

Stochastic Convenience Yield

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Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

The Journal of Finance ◽

10.1111/j.1540-6261.2005.00799.x ◽

2005 ◽

Vol 60 (5) ◽

pp. 2283-2331 ◽

Cited By ~ 267

Author(s):

JAIME CASASSUS ◽

PIERRE COLLIN-DUFRESNE

Keyword(s):

Interest Rates ◽

Commodity Futures ◽

Convenience Yield ◽

Stochastic Convenience Yield

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Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach

Quantitative Finance ◽

10.1080/14697680600989535 ◽

2007 ◽

Vol 7 (3) ◽

pp. 289-300 ◽

Cited By ~ 6

Author(s):

Jonathan M. Godbey ◽

Jimmy E. Hilliard

Keyword(s):

Minimum Variance ◽

Convenience Yield ◽

Hedge Ratios ◽

Variance Approach ◽

Stochastic Convenience Yield

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Optimal Dynamic Hedging in Commodity Futures Markets with a Stochastic Convenience Yield

SSRN Electronic Journal ◽

10.2139/ssrn.1095482 ◽

2010 ◽

Author(s):

Constantin Mellios ◽

Pierre Six

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Convenience Yield ◽

Dynamic Hedging ◽

Commodity Futures Markets ◽

Optimal Dynamic ◽

Stochastic Convenience Yield

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