Seasonality in commodity prices: new approaches for pricing plain vanilla options
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DOI: 10.1007/s10479-022-05128-x
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Cited by:
- Athinan Sutchada & Sanae Rujivan & Boualem Djehiche, 2025. "Analytical Pricing of Commodity Futures with Correlated Jumps and Seasonal Effects: An Empirical Study of Thailand’s Natural Rubber Market," Mathematics, MDPI, vol. 13(5), pages 1-20, February.
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More about this item
Keywords
Commodities; Natural gas; Futures prices; Option pricing; Fast Fourier transform; Term-structure model; Analytical solution; Seasonal stochastic volatility; Sinusoidal functions;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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