Implied volatility surface construction for commodity futures options traded in China-Reference-Cited by-同舟云学术

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Implied volatility surface construction for commodity futures options traded in China

Published:2022-10 Issue: Volume:61 Page:101676
ISSN:0275-5319
Container-title:Research in International Business and Finance
language:en
Short-container-title:Research in International Business and Finance

Author:

Xu Wei,Šević Aleksandar,Šević Željko

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Elsevier BV

Subject

Finance,Business, Management and Accounting (miscellaneous)

Reference52 articles.

1. The time pattern of hedging and the volatility of futures prices;Anderson;Rev. Econ. Stud.,1983

2. An empirical study on the regulated chinese agricultural commodity futures market based on skew ornstein-uhlenbeck model;Bai;Res. Int. Bus. Financ.,2021

3. A comparison of implied and realized volatility in the nordic power forward market;Birkelund;Energy Econ.,2015

4. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973

5. Traders’ motivation and hedging pressure in commodity futures markets;Bosch;Res. Int. Bus. Financ.,2022

Cited by 2 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

1. Does market efficiency matter for Shanghai 50 ETF index options?;Research in International Business and Finance;2024-01

2. Connectedness between carbon and sectoral commodity markets: Evidence from China;Research in International Business and Finance;2023-10

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