3 edition of **Unspanned stochastic volatility and the pricing of commodity derivatives** found in the catalog.

Unspanned stochastic volatility and the pricing of commodity derivatives

Anders B. Trolle

- 61 Want to read
- 32 Currently reading

Published
**2006**
by National Bureau of Economic Research in Cambridge, Mass
.

Written in English

- Petroleum industry and trade -- Econometric models

**Edition Notes**

Statement | Anders B. Trolle, Eduardo S. Schwartz. |

Series | NBER working paper series -- no. 12744., Working paper series (National Bureau of Economic Research) -- working paper no. 12744. |

Contributions | Schwartz, Eduardo S., National Bureau of Economic Research. |

The Physical Object | |
---|---|

Pagination | 50 p. : |

Number of Pages | 50 |

ID Numbers | |

Open Library | OL17631861M |

OCLC/WorldCa | 77009471 |

Pricing and Hedging in the Presence of Extraneous Risk” Stochastic Processes and their Applications (with Julien Hugonnier). “Convenience Yields Implied from Interest Rates and Commodity Futures” Journal of Finance. (with Jaime Casassus). “Unspanned Stochastic Volatil ity . () Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model. Journal of Mathematical Analysis and Applications , () Accurate and Robust Cited by:

Unspanned Stochastic Volatility Model for Variance Swaps Xin Zang Peking University, China Abstract: Most existing models for volatility derivatives imply that variance swaps or the CBOE VIX span the File Size: 1MB. Welcome to the second issue of the fifteenth volume of The Journal of Credit Risk, which contains three original research papers.. The first paper, “A consumer credit risk structural model based on .

Trolle () estimates variance risk premiums in two ways: First, he estimates a dynamic term structure model that allows for unspanned stochastic volatility and, second, he corroborates his Cited by: This paper analyses the volatility structure of commodity derivatives markets. The model encompasses hump-shaped, unspanned stochastic volatility, which entails a finite-dimensional affine .

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Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives Article in Review of Financial Studies 22(11) October with 74 Reads How we measure 'reads'. Get this from a library. Unspanned stochastic volatility and the pricing of commodity derivatives.

[Anders B Trolle; Eduardo S Schwartz; National Bureau of Economic Research.] -- We conduct a. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives Article in Review of Financial Studies 22(11) November with 33 Reads How we measure 'reads'.

Downloadable (with restrictions). Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing.

Downloadable. We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives.

Review of Financial Studies 22 – United States Senate Permanent Subcommittee on Investigations of the Committee Cited by: Trolle AB, Schwartz ES () Unspanned stochastic volatility and the pricing of commodity derivatives. Working Paper, Copenhagen Business School and UCLA, Copenhagen Google Scholar Unspanned stochastic volatility and the pricing of commodity derivatives Evidence of unspanned stochastic volatility from crude-oil futures and options A new model for pricing commodity derivatives.

These results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors could be partly driven by activities in the mortgage markets. These findings. Keywords: Multi-factor stochastic volatility, Futures curve modelling, Option pricing, Calendar spread options, Crude oil, Fourier inversion methods JEL: C02, G13 1.

Introduction Crude oil is by far the Cited by: 5. This paper analyses the volatility structure of commodity derivatives markets. The model encompasses hump-shaped, unspanned stochastic volatility, which entails a finite-dimensional affine model for the.

Search this site: Humanities. Architecture and Environmental Design; Art History. Pricing of Bond Options: Unspanned Stochastic Volatility and A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options.

In general. "A general stochastic volatility model for the pricing of interest rate derivatives," Review of Financial Studies (), pp. Trolle, A.B. and Schwartz, E.S., " Unspanned stochastic.

As discussed in the introduction, this paper focuses on a second type of seasonality present in the price dynamics of commodity markets. According to Anderson (), the volatility of commodity futures Cited by: Investors’ Uncertainty and Stock Returns Arzu Ozoguz Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives Anders B.

Trolle and Eduardo S. Schwartz. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives pp. Anders B. Trolle and Eduardo S.

Schwartz Expected Stock Returns and Variance Risk Premia pp. The main focus of their study is on unspanned stochastic volatility of single-underlying options on futures contracts. Chiarella et al. () introduce a multi-factor futures-based model that allows for humped Cited by: 5. The full text of this article hosted at is unavailable due to technical difficulties.

Title: Unspanned Stochastic Volatility, Conformal Symmetries, and Stochastic Time Speaker: Gregory Pelts, Wells Fargo Abstract.

We shall apply the stochastic clock technique and conformal symmetry to. Pricing expropriation risk in natural resource contracts – A real options approach Schwartz, Eduardo S.

; Trolle, Anders ; Hogan, William ; Sturzenegger, Federico The Natural Resource Trap: Private .Unspanned stochastic volatility and the pricing of commodity derivatives.

Review of Financial Studies, 22(11), Theory of storage and the pricing of commodity claims. Review of Derivatives .New solvable stochastic volatility models for pricing volatility derivatives.

Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter .