Details
| Original language | English |
|---|---|
| Article number | 1350032 |
| Journal | International Journal of Theoretical and Applied Finance |
| Volume | 16 |
| Issue number | 6 |
| Publication status | Published - 1 Sept 2013 |
| Externally published | Yes |
Abstract
This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half, we review existing derivative pricing models and discuss how the peculiarities of commodity markets have been integrated in these models. We conclude the paper with a brief outlook on various important research questions that need to be addressed in the future.
Keywords
- commodity derivatives, commodity prices, convenience yield, mean reversion, Review, Samuelson effect, seasonality, theory of storage
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
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In: International Journal of Theoretical and Applied Finance, Vol. 16, No. 6, 1350032, 01.09.2013.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Commodity price dynamics and derivative valuation
T2 - A review
AU - Back, Janis
AU - Prokopczuk, Marcel
PY - 2013/9/1
Y1 - 2013/9/1
N2 - This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half, we review existing derivative pricing models and discuss how the peculiarities of commodity markets have been integrated in these models. We conclude the paper with a brief outlook on various important research questions that need to be addressed in the future.
AB - This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half, we review existing derivative pricing models and discuss how the peculiarities of commodity markets have been integrated in these models. We conclude the paper with a brief outlook on various important research questions that need to be addressed in the future.
KW - commodity derivatives
KW - commodity prices
KW - convenience yield
KW - mean reversion
KW - Review
KW - Samuelson effect
KW - seasonality
KW - theory of storage
UR - http://www.scopus.com/inward/record.url?scp=84885138199&partnerID=8YFLogxK
U2 - 10.1142/S0219024913500325
DO - 10.1142/S0219024913500325
M3 - Article
AN - SCOPUS:84885138199
VL - 16
JO - International Journal of Theoretical and Applied Finance
JF - International Journal of Theoretical and Applied Finance
SN - 0219-0249
IS - 6
M1 - 1350032
ER -