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: | |
|---|---|
| Other Authors: | , , , |
| Published: |
2025
|
| Subjects: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!