| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12744 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w12744 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570407 |
| 推荐引用方式 GB/T 7714 | Anders B. Trolle,Eduardo S. Schwartz. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12744.pdf（942KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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