Commodity derivatives pricing with cointegration and stochastic covariances

Keyphrases

• Operations Research 100%
• Cointegration 100%
• Stochastic Covariance 100%
• Futures Prices 100%
• Derivative Pricing 100%
• Commodity Derivatives 100%
• Cointegration Relationship 100%
• International Federations 50%
• Copyright 50%
• Gasoline 50%
• Stochastic Volatility 50%
• Asset Returns 50%
• Stochastic Covariance Matrix 50%
• Multiple Commodities 50%
• Single Commodity 50%
• Spot Price 50%
• Mean-reverting 50%
• Risk-neutral Measure 50%
• Convenience Yield 50%
• International Oil Prices 50%
• Energy Product 50%
• Continuous Dynamics 50%
• Joint Characteristic Function 50%
• Commodity Prices 50%

Economics, Econometrics and Finance

• Derivative Pricing 100%
• Operations Research 100%
• Commodity Derivative 100%
• Time Series 50%
• Continuous Time 50%
• Volatility 50%
• Capital Market Returns 50%
• Convenience Yields 50%
• Option Value 50%