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来源类型Working Paper
规范类型报告
DOI10.3386/w12744
来源IDWorking Paper 12744
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
Anders B. Trolle; Eduardo S. Schwartz
发表日期2006-12-08
出版年2006
语种英语
摘要We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in the crude-oil market. We then develop a tractable model for pricing commodity derivatives in the presence of unspanned stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi-analytical prices of options on futures and futures curve dynamics in terms of a low-dimensional affine state vector. The model performs well when estimated on an extensive panel data set of crude-oil futures and options.
主题Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w12744
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/570407
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Anders B. Trolle,Eduardo S. Schwartz. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives. 2006.
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