Valuation of commodity derivatives in a new multi-factor model

By Xuemin Yan. 2002

68 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c6280d8afb59d10d9c07cee24c24e1010b77fa6d

How researchers see this paper

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

In Finance

1. Lingfei Li
2. Vadim Linetsky
3. Rafael Mendoza-Arriaga
4. Jian-wei Gao
5. Wim Schoutens
6. Marceau Decamps
7. Marc J. Goovaerts

Citations in the corpus

• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, background): “A variety of jump-diffusion models along these lines have been introduced in commodity markets (e.g., Hilliard and Reis 1998, 1999; Deng 1999; Yan 2002; Benth and Šaltytė Benth 2004; Geman and Roncoroni 2005; Andersen 2008; and Crosby 2008).”