Valuation of commodity option prices under a regime-switching model with stochastic convenience yield: Model calibration using flower pollination optimization algorithm

<p>This research work seeks to construct a model for commodity spot prices by incorporating the concept of stochastic convenience yield within a Markov-switching framework. The model presented in this paper applies the Gibson-Schwartz commodity model under the risk-neutral measure, enabling re...

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Bibliographic Details
Main Author: A. Hamdi (17906918) (author)
Other Authors: I. Aksikas (3120909) (author), H. Smaoui (22437832) (author), F. Mehrdoust (22437835) (author), I. Noorani (22437838) (author)
Published: 2025
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