Risk‐neutral skewness and commodity futures pricing

2022 ◽  
Author(s):  
Ana‐Maria Fuertes ◽  
Zhenya Liu ◽  
Weiqing Tang
Keyword(s):  
Commodity Futures ◽  
Risk Neutral ◽  
Futures Pricing

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

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

Approximation for convenience yield in commodity futures pricing

2002 ◽  
Vol 22 (10) ◽  
pp. 1005-1017 ◽  
Author(s):  
Richard Heaney
Keyword(s):  
Commodity Futures ◽  
Convenience Yield ◽  
Futures Pricing

Efficient Use of Commodity Futures in Diversified Portfolios

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 63-64
Author(s):  
Charles F. Peake
Keyword(s):  
Commodity Futures

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

CFA Digest ◽  
2010 ◽  
Vol 40 (2) ◽  
pp. 5-7
Author(s):  
Yazann S. Romahi
Keyword(s):  
Trading Strategies ◽  
Commodity Futures

Risk-Neutral and Physical Jumps in Option Pricing

2007 ◽  
Author(s):  
Jian Chen ◽  
Xiaoquan Liu ◽  
Chenghu Ma
Keyword(s):  
Option Pricing ◽  
Risk Neutral

Chemical Link Versus Industrial Link among Commodity Futures

2010 ◽  
Author(s):  
Michael Chng
Keyword(s):  
Commodity Futures

What is Risk Neutral Volatility?

2010 ◽  
Author(s):  
Stephen Figlewski
Keyword(s):  
Risk Neutral

Long and Short Term Jumps in Commodity Futures Prices

2010 ◽  
Author(s):  
M. A. H. Dempster ◽  
Elena Medova ◽  
Ke Tang
Keyword(s):  
Commodity Futures ◽  
Futures Prices ◽  
Short Term
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