dc.date.accessioned | 2020-05-20T18:47:21Z | |
dc.date.available | 2020-05-20T18:47:21Z | |
dc.date.created | 2020-01-22T10:10:27Z | |
dc.date.issued | 2020 | |
dc.identifier.citation | Benth, Fred Espen Khedher, Asma Vanmaele, Michèle . Pricing of commodity derivatives on processes with memory. Risks. 2020 | |
dc.identifier.uri | http://hdl.handle.net/10852/76023 | |
dc.description.abstract | Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with memory as, e.g., a Volterra equation driven by a Lévy process. Moreover, the interest rate and a risk premium ρ representing storage costs, illiquidity, convenience yield or insurance costs, are assumed to be stochastic. When the interest rate is deterministic and the risk premium is explicitly modelled as an Ornstein-Uhlenbeck type of dynamics with a mean level that depends on the same memory term as the commodity, the process (ξ;ρ) has an affine structure under the pricing measure Q and an explicit expression for the option price is derived in terms of the Fourier transform of the payoff function. | |
dc.language | EN | |
dc.title | Pricing of commodity derivatives on processes with memory | |
dc.type | Journal article | |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Khedher, Asma | |
dc.creator.author | Vanmaele, Michèle | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Risiko og Stokastikk | |
cristin.ispublished | true | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1779770 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Risks&rft.volume=&rft.spage=&rft.date=2020 | |
dc.identifier.jtitle | Risks | |
dc.identifier.doi | http://dx.doi.org/10.3390/risks8010008 | |
dc.identifier.urn | URN:NBN:no-79134 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 2227-9091 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/76023/4/risks-08-00008-v2.pdf | |
dc.type.version | PublishedVersion | |