Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

By Samuel Hikspoors, Sebastian Jaimungal. 2008

47 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance

View Paper: https://www.semanticscholar.org/paper/9950a1c0f44ca3954e1c8d39fa0fa4f7f1a210b4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Mechanics

1. Fred Espen Benth

In Finance

1. Almut E. D. Veraart
2. Fred Espen Benth
3. Ole E. Barndorff-Nielsen
4. V. Todorov
5. N. Shephard
6. Tim Bollerslev
7. Peter J. Brockwell
8. Jeannette H. C. Woerner

Citations in the corpus

• Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, background): “Volatility clusters are often found in energy prices, see, for example, Hikspoors and Jaimungal [50], Trolle and Schwartz [64], Benth [22], Benth and Vos [26], Koopman, Ooms and Carnero [55], Veraart and Veraart [65].”
• THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF‐NIELSEN AND SHEPHARD IN COMMODITY MARKETS (2010, background): “As noted by Hikspoors and Jaimungal (2007), it seems difficult to obtain an analytical solution for the forward price on a mean-reverting spot dynamics with Heston stochastic volatility.”