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https://doi.org/10.1137/090746586
DC Field | Value | |
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dc.title | Storage costs in commodity option pricing | |
dc.contributor.author | Hinz, J. | |
dc.contributor.author | Fehr, M. | |
dc.date.accessioned | 2014-10-28T02:46:25Z | |
dc.date.available | 2014-10-28T02:46:25Z | |
dc.date.issued | 2010 | |
dc.identifier.citation | Hinz, J., Fehr, M. (2010). Storage costs in commodity option pricing. SIAM Journal on Financial Mathematics 1 (1) : 729-751. ScholarBank@NUS Repository. https://doi.org/10.1137/090746586 | |
dc.identifier.issn | 1945497X | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/104201 | |
dc.description.abstract | Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with the lack of an efficient dynamic hedging. In this work, we study the effect of storability on risk neutral commodity price modeling and suggest a model class where arbitrage is excluded for both commodity futures trading and simultaneous dynamical management of the commodity stock. The proposed framework is based on key results from interest rate theory. © 2010 Society for Industrial and Applied Mathematics. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1137/090746586 | |
dc.source | Scopus | |
dc.subject | Commodity options | |
dc.subject | Futures markets | |
dc.subject | LIBOR model | |
dc.subject | Theory of storage | |
dc.type | Article | |
dc.contributor.department | MATHEMATICS | |
dc.description.doi | 10.1137/090746586 | |
dc.description.sourcetitle | SIAM Journal on Financial Mathematics | |
dc.description.volume | 1 | |
dc.description.issue | 1 | |
dc.description.page | 729-751 | |
dc.identifier.isiut | 000208691600028 | |
Appears in Collections: | Staff Publications |
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