COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

Author:

BACK JANIS1,PROKOPCZUK MARCEL23

Affiliation:

1. WHU – Otto Beisheim School of Management, 56179 Vallendar, Germany

2. Zeppelin University, 88045 Friedrichshafen, Germany

3. ICMA Centre, Henley Business School, University of Reading, RG6 6BA, UK

Abstract

This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half, we review existing derivative pricing models and discuss how the peculiarities of commodity markets have been integrated in these models. We conclude the paper with a brief outlook on various important research questions that need to be addressed in the future.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

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