… observed term structure of futures prices and calibrate the market-implied cointegration
relationship. We apply it to value options on a single commodity and on multiple commodities. …

… are becoming an increasingly important part of the global derivatives market. … stochastic
volatility model for pricing commodity derivatives. The model features unspanned stochastic …

… Stochastic modelling of commodity spot prices and forward curves Real options valuation …
that makes the complex analysis of commodities derivative securities accessible to both the …

… Stochastic commodity price models play a central role in the valuation and hedging of
commodity-linked financial and real assets. The critical importance of carefully specifying the …

… the pricing of one commodity using information from another market we focus on the fact that
commodity prices are … Our contribution is a model able to consistently capture the stochastic …

… one‐factor commodity spot price model and its use in derivatives pricing. Let S t denote
the spot dynamics defined under the risk‐neutral measure Q. The standard model assumes …

… In this paper, I examine a broader class of stochastic models which can be used to model
behaviors in commodity prices including jump, stochastic volatility, as well as stochastic …

… the options and commodity price models considered in this work, although, for price processes
… As expected, the spot-price process S(t) reverts to the stochastic mean process exp{Υ(t)}. …

… model of the stochastic behavior of commodity prices. The first factor is the commodity spot
price … to describe seasonal variations in commodity prices. The time-varying volatilities of the …

… valuation models to price commodity contingent claims. Within the vast range of models
existing in the commodity … those with stochastic volatility and those with multi stochastic factors, …