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...
Saved in:
| 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
|
| Subjects: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Stochastic management of hybrid AC/DC microgrids considering electric vehicles charging demands
by: Peng, Wang
Published: (2020) -
Time-varying volatility model equipped with regime switching factor: valuation of option price written on energy futures
by: Leduc, Guillaume
Published: (2025) -
The Predictive Power of Oil and Commodity Prices for Equity Markets
by: Dagher, Leila
Published: (2018) -
Do commodity price volatilities impact currency misalignments in commodity-exporting countries?
by: Boubakri, Salem
Published: (2020) -
Calibration of building model based on indoor temperature for overheating assessment using genetic algorithm: Methodology, evaluation criteria, and case study
by: Mutasim Baba, Fuad
Published: (2022)