Risk‐neutral skewness and commodity futures pricing

Journal of Futures Markets ◽

10.1002/fut.22308 ◽

2022 ◽

Author(s):

Ana‐Maria Fuertes ◽

Zhenya Liu ◽

Weiqing Tang

Keyword(s):

Commodity Futures ◽

Risk Neutral ◽

Futures Pricing

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Explorations on the commodity futures pricing with unknown parameters: An expectation oriented approach

2010 2nd IEEE International Conference on Information and Financial Engineering ◽

10.1109/icife.2010.5609429 ◽

2010 ◽

Author(s):

Shulin Zhang ◽

Juanjuan Ding ◽

Shuping Wang

Keyword(s):

Commodity Futures ◽

Unknown Parameters ◽

Futures Pricing ◽

Oriented Approach

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A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2015.12.028 ◽

2017 ◽

Vol 309 ◽

pp. 435-441 ◽

Author(s):

L. Gómez-Valle ◽

Z. Habibilashkary ◽

J. Martínez-Rodríguez

Keyword(s):

Jump Diffusion ◽

Commodity Futures ◽

New Technique ◽

Neutral Processes ◽

Risk Neutral ◽

A New Technique

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Approximation for convenience yield in commodity futures pricing

Journal of Futures Markets ◽

10.1002/fut.10036 ◽

2002 ◽

Vol 22 (10) ◽

pp. 1005-1017 ◽

Author(s):

Richard Heaney

Keyword(s):

Commodity Futures ◽

Convenience Yield ◽

Futures Pricing

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Efficient Use of Commodity Futures in Diversified Portfolios

10.2469/dig.v31.n1.828 ◽

2001 ◽

Vol 31 (1) ◽

pp. 63-64

Author(s):

Charles F. Peake

Keyword(s):

Commodity Futures

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The Hedging Benefits of Commodity Futures in International Portfolio Diversification

10.2469/dig.v30.n3.721 ◽

2000 ◽

Vol 30 (3) ◽

pp. 47-49 ◽

Author(s):

Johann de Villiers

Keyword(s):

Commodity Futures ◽

Portfolio Diversification ◽

International Portfolio Diversification ◽

International Portfolio

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Trend-Following Trading Strategies in Commodity Futures: A Re-Examination

10.2469/dig.v40.n2.4 ◽

2010 ◽

Vol 40 (2) ◽

pp. 5-7

Author(s):

Yazann S. Romahi

Keyword(s):

Trading Strategies ◽

Commodity Futures

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Risk-Neutral and Physical Jumps in Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.1099368 ◽

2007 ◽

Author(s):

Jian Chen ◽

Xiaoquan Liu ◽

Chenghu Ma

Keyword(s):

Option Pricing ◽

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Chemical Link Versus Industrial Link among Commodity Futures

SSRN Electronic Journal ◽

10.2139/ssrn.1549995 ◽

2010 ◽

Author(s):

Michael Chng

Keyword(s):

Commodity Futures

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What is Risk Neutral Volatility?

SSRN Electronic Journal ◽

10.2139/ssrn.1659223 ◽

2010 ◽

Author(s):

Stephen Figlewski

Keyword(s):

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Long and Short Term Jumps in Commodity Futures Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1666177 ◽

2010 ◽

Author(s):

M. A. H. Dempster ◽

Elena Medova ◽

Ke Tang

Keyword(s):

Commodity Futures ◽

Futures Prices ◽

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