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• W181142140 abstract "The goal of our paper is to show how correlation between convenience yield and commodity spot price must be and can be integrated to valuate commodity derivatives. This incorporation can be done in addition to usual factors: market prices of risk (Casassus and Collin-Dufresne, 2005) and/or stochastic volatility (Nielsen and Schwartz, 2004; Richter and Sorensen, 2006). While not discussed in this paper for ease of presentation, we could also take into account jumps (Hilliard and Reis, 1998; Koekebakker and Lien, 2004) in addition to stochastic correlation. Indeed, Cuchiero et al. (2011) derive necessary and sufficient conditions for the existence of affine-jump matrix valued processes. Their framework enables the modeling of the above cited stylized facts while keeping the usual tractability of the affine framework to price derivatives as well as to estimate their parameters." @default.
• W181142140 created "2016-06-24" @default.
• W181142140 creator A5071632378 @default.
• W181142140 date "2012-01-01" @default.
• W181142140 modified "2023-09-25" @default.
• W181142140 title "Correlation as a Pricing Factor for Oil Derivatives" @default.
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• W181142140 doi "https://doi.org/10.2139/ssrn.2114328" @default.
• W181142140 hasPublicationYear "2012" @default.
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