Author:
Ewald Christian-Oliver,Zhang Aihua,Zong Zhe
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Reference10 articles.
1. Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics, 3, 167–179.
2. Chen, J., & Ewald, C.-O. (2017). Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method. International Review of Financial Analysis, 52, 144–151.
https://doi.org/10.1016/j.irfa.2017.05.002
.
3. Ewald, C. O., Zhang, A., & Zong, Z. (2017). On the consistency of two benchmark approaches to calibrate the Schwartz (1997) two-factor model for commodity futures, working paper.
4. Harvey, A. C. (1989). Forecasting structural time series models and the Kalman filter. Cambridge: Cambridge University Press.
5. Hilliard, J. E., & Reis, J. (1998). Valuation of commodity futures and options under stochastic convenience yields, interest rates and jump diffusion in the spot. The Journal of Financial and Quantitative Analysis, 33(1), 61–86.
Cited by
13 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献