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Stochastic Correlation in Commodity Spread Options

https://doi.org/10.2139/ssrn.2404498
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-662-12429-1_10openalex-extracted
Spread Option Valuation and the Fast Fourier Transform
inferredcites →https://doi.org/10.1007/s11147-008-9018-xopenalex-extracted
Option pricing when correlations are stochastic: an analytical framework
inferredcites →https://doi.org/10.1016/0304-405x(76)90024-6openalex-extracted
The pricing of commodity contracts
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.04.004openalex-extracted
Long term spread option valuation and hedging
inferredcites →https://doi.org/10.1016/s0304-4076(99)00021-4openalex-extracted
Post-'87 crash fears in the S&P 500 futures option market
inferredcites →https://doi.org/10.1080/07474930600713234openalex-extracted
Continuous Time Wishart Process for Stochastic Risk
inferredcites →https://doi.org/10.1080/13504860701532237openalex-extracted
An Improved Binomial Lattice Method for Multi‐Dimensional Options
inferredcites →https://doi.org/10.1093/benz/9780199773787.article.b00141817openalex-extracted
Pietschmann, Max or Ernst Max
inferredcites →https://doi.org/10.1093/rfs/14.1.113openalex-extracted
Valuing American Options by Simulation: A Simple Least-Squares Approach
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02569.xopenalex-extracted
Efficient Analytic Approximation of American Option Values
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00797.xopenalex-extracted
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01467.xopenalex-extracted
The Price of Correlation Risk: Evidence from Equity Options
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01533.xopenalex-extracted
Correlation Risk and Optimal Portfolio Choice
inferredcites →https://doi.org/10.1111/j.2517-6161.1977.tb01600.xopenalex-extracted
Maximum Likelihood from Incomplete Data Via the EM Algorithm
inferredcites →https://doi.org/10.1137/090750421openalex-extracted
A Fourier Transform Method for Spread Option Pricing
inferredcites →https://doi.org/10.1137/s0036144503424798openalex-extracted
Pricing and Hedging Spread Options
inferredcites →https://doi.org/10.1139/juvs-2013-0002openalex-extracted
ÉDITORIAL
inferredcites →https://doi.org/10.1198/073500102288618487openalex-extracted
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1214/10-aap710openalex-extracted
Affine processes on positive semidefinite matrices
inferredcites →https://doi.org/10.21314/jcf.1999.043openalex-extracted
Option valuation using the fast Fourier transform
inferredcites →https://doi.org/10.2139/ssrn.1458006openalex-extracted
Information in the Term Structure of Yield Curve Volatility
inferredcites →https://doi.org/10.2139/ssrn.1474728openalex-extracted
Efficient Simulation of the Wishart Model
inferredcites →https://doi.org/10.2139/ssrn.1481151openalex-extracted
Affine Processes on Positive Semidefinite Matrices
inferredcites →https://doi.org/10.2139/ssrn.1557006openalex-extracted
An Empirical Model Comparison for Valuing Crack Spread Options
inferredcites →https://doi.org/10.2139/ssrn.157733openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
inferredcites →https://doi.org/10.2139/ssrn.2224270openalex-extracted
The Factor Structure in Equity Option Prices
inferredcites →https://doi.org/10.2139/ssrn.2404507openalex-extracted
Robust Spread Option Pricing
inferredcites →https://doi.org/10.2139/ssrn.276668openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.673425openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.908664openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.966390openalex-extracted
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
inferredcites →https://doi.org/10.2139/ssrn.982183openalex-extracted
inferredcites →https://doi.org/10.7916/d8h41zddopenalex-extracted
Limits to Arbitrage and Commodity Index Investment
inferredcites →https://doi.org/10.1111/1540-6261.00475openalex-snapshot
Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
inferredcites →https://doi.org/10.1214/12-aap863openalex-snapshot
Exact and high-order discretization schemes for Wishart processes and their affine extensions
inferredcites →https://doi.org/10.2139/ssrn.1306022openalex-snapshot
Economic Linkages, Relative Scarcity, and Commodity Futures Returns

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1007/s11009-020-09838-2openalex-snapshot
Modelling Joint Behaviour of Asset Prices Using Stochastic Correlation
inferred← citeshttps://doi.org/10.15476/elte.2020.179openalex-snapshot
Stochastic correlation for asset pricing and credit derivative products
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