stochastic convenience yield Latest Research Papers

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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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 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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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.2984865 ◽

2017 ◽

Author(s):

Christian-Oliver Ewald ◽

Yuexiang Wu ◽

Aihua Zhang

Keyword(s):

Asian Options ◽

Convenience Yield ◽

Stochastic Convenience Yield

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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

European Journal of Operational Research ◽

10.1016/j.ejor.2015.10.045 ◽

2016 ◽

Vol 250 (2) ◽

pp. 493-504 ◽

Cited By ~ 8

Author(s):

Constantin Mellios ◽

Pierre Six ◽

Anh Ngoc Lai

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Convenience Yield ◽

Commodity Futures Markets ◽

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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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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stochastic convenience yield
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

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

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

Pricing Asian Options with Stochastic Convenience Yield and Jumps

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

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

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

Pricing Asian Options with Stochastic Convenience Yield and Jumps

Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

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

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

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stochastic convenience yieldRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

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

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

Pricing Asian Options with Stochastic Convenience Yield and Jumps

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

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

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

Pricing Asian Options with Stochastic Convenience Yield and Jumps

Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

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

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

stochastic convenience yield
Recently Published Documents