1. Seasonality in commodity prices: new approaches for pricing plain vanilla options. (2024). Fanelli, Viviana ; Frau, Carme.
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   RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05128-x.

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2. Seasonal volatility in agricultural markets: modelling and empirical investigations. (2024). Schneider, L ; Tavin, B.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04241-7.

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3. Market uncertainty and information content in complex seasonality of prices. (2024). Li, Zhongfei ; Ji, Yuqiong ; Tang, Wenjin ; Bu, Hui.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001811.

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4. A Hybrid Model for China’s Soybean Spot Price Prediction by Integrating CEEMDAN with Fuzzy Entropy Clustering and CNN-GRU-Attention. (2022). Tang, Zhenpeng ; Cai, YI ; Liu, Dinggao.
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5. Jumps in commodity prices: New approaches for pricing plain vanilla options. (2022). Crosby, John ; Frau, Carme.
   In: Energy Economics.
   RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004315.

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6. Financial investments and commodity prices. (2022). Qiu, Zhigang ; Liu, Peng ; Xu, David Xiaoyu.
   In: International Review of Finance.
   RePEc:bla:irvfin:v:22:y:2022:i:4:p:637-661.

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7. Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Ewald, Christian-Oliver ; Zou, Yihan.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815.

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8. The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators. (2018). Abid, Fathi ; Kaffel, Bilel.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0638-9.

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9. Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Schneider, Lorenz ; Tavin, Bertrand.
   In: Papers.
   RePEc:arx:papers:1802.01393.

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10. The volatility of returns from commodity futures: evidence from India. (2017). GOSWAMI, BHASKAR ; Mukherjee, Isita .
    In: Financial Innovation.
    RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0066-9.

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11. A multifactor stochastic volatility model of commodity prices. (2017). Lopez, Matias ; Naranjo, Lorenzo ; Cortazar, Gonzalo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:67:y:2017:i:c:p:182-201.

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12. Empirical Performance of Commodity Pricing Models: When is it Worthwhile to Use a Stochastic Volatility Specification?. (2016). Gutierrez, Simon ; Ortega, Hector ; Cortazar, Gonzalo.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:36:y:2016:i:5:p:457-487.

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13. Valuation of commodity derivatives with an unobservable convenience yield. (2016). LAI, Anh ; Mellios, Constantin.
    In: Post-Print.
    RePEc:hal:journl:halshs-01183166.

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14. Essays on asset pricing. (2015). Nazliben, Kamil .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:ccdafa8c-ba56-40f0-9917-e92690137560.

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15. The valuation and information content of options on crude-oil futures contracts. (2015). Murphy, Finbarr ; Ronn, Ehud.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:18:y:2015:i:2:p:95-106.

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16. Price Mean Reversion, Seasonality, and Options Markets. (2015). Lence, Sergio ; Hart, Chad ; Hayes, Dermot ; Jin, NA.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:201501010800001065.

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17. Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets. (2015). Schneider, Lorenz ; Tavin, Bertrand.
    In: Papers.
    RePEc:arx:papers:1506.05911.

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18. COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW. (2013). Prokopczuk, Marcel ; Back, Janis.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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19. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
    In: PhD Thesis.
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20. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
    In: PhD Thesis.
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21. Seasonality and the valuation of commodity options. (2013). Prokopczuk, Marcel ; Rudolf, Markus ; Back, Janis.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:273-290.

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22. The Long-Term Structure of Commodity Futures. (2012). Lence, Sergio ; Hart, Chad ; Hayes, Dermot ; Jin, NA.
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23. Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options. (2011). Prokopczuk, Marcel ; Rudolf, Markus ; Back, Janis.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-16.

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24. Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns. (2011). Tang, Ke ; Casassus, Jaime ; Liu, Peng.
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:404.

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25. A maximal affine stochastic volatility model of oil prices. (2010). Hughen, Keener W..
    In: Journal of Futures Markets.
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26. Markov models for commodity futures: theory and practice. (2010). Andersen, Leif.
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27. Pricing of Derivatives on Mean-Reverting Assets. (2010). Lutz, Bjorn.
    In: Lecture Notes in Economics and Mathematical Systems.
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28. Seasonality and the Valuation of Commodity Options. (2010). Prokopczuk, Marcel ; Rudolf, Markus ; Back, Janis.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2010-08.

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29. Dynamic hedging strategies: an application to the crude oil market. (2010). Lautier, Delphine ; Galli, Alain.
    In: Post-Print.
    RePEc:hal:journl:halshs-00640802.

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30. Dynamic Hedging Strategies: An Application to the Crude Oil Market. (2010). Lautier, Delphine ; Galli, Alain.
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31. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives. (2009). Schwartz, Eduardo S. ; Trolle, Anders B..
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32. Long term spread option valuation and hedging. (2008). Tang, Ke ; Medova, Elena ; Dempster, M. A. H., .
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    RePEc:eee:jbfina:v:32:y:2008:i:12:p:2530-2540.

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33. On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis. (2008). Turvey, Calum ; Power, Gabriel.
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    RePEc:ags:nccest:37608.

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34. A Preference-Free Formula to Value Commodity Derivatives. (2007). Rodriguez, J C.
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35. A Preference-Free Formula to Value Commodity Derivatives. (2007). Rodríguez, Juan.
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36. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives. (2006). Schwartz, Eduardo S. ; Trolle, Anders B..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12744.

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37. Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
    In: 2005 Annual meeting, July 24-27, Providence, RI.
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38. Updating the Estimation of the Supply of Storage Model. (2005). Roberts, Matthew C. ; Zhou, Haijiang ; Zulauf, Carl R..
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1. Risk Premiums in the Cross-Section of Commodity Convenience Yields. (2015). Bollinger, Thomas ; Kind, Axel.
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2. Calendar Spread Options for Storable Commodities. (2013). Brorsen, B ; Li, Weiping ; Seok, Juheon.
   In: 2013 Annual Meeting, August 4-6, 2013, Washington, D.C..
   RePEc:ags:aaea13:150294.

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3. Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices. (2012). Fichtner, Wolf ; Genoese, Massimo ; Möst, Dominik, ; Keles, Dogan.
   In: Energy Economics.
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4. Optimal portfolios in commodity futures markets. (2012). Lempa, Jukka ; Benth, Fred Espen.
   In: Papers.
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5. Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns. (2011). Tang, Ke ; Casassus, Jaime ; Liu, Peng.
   In: Documentos de Trabajo.
   RePEc:ioe:doctra:404.

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6. Looking for Rational Bubbles in Agricultural Commodity Markets. (2011). Gutierrez, Luciano.
   In: 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland.
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7. Model based Monte Carlo pricing of energy and temperature quanto options. (2010). Torro, Hipolit ; Caporin, Massimiliano ; Pres, Juliusz .
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8. Convenience yields. (2010). Jarrow, Robert.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:13:y:2010:i:1:p:25-43.

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9. What do we learn from the price of crude oil futures?. (2010). Kilian, Lutz ; Alquist, Ron.
   In: Journal of Applied Econometrics.
   RePEc:jae:japmet:v:25:y:2010:i:4:p:539-573.

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10. Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics. (2009). Prokopczuk, Marcel ; Paschke, Raphael.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2009-10.

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11. Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media. (2009). Ruiz-Porras, Antonio ; Garcia de la Vega, Victor Manuel, .
    In: MPRA Paper.
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12. Evidence of unspanned stochastic volatility in crude-oil market. (2009). Tudor, Razvan .
    In: Advances in Economic and Financial Research - DOFIN Working Paper Series.
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13. Contrasting two approaches in real options valuation: contingent claims versus dynamic programming. (2008). Wirjanto, Tony ; Insley, Margaret.
    In: Working Papers.
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14. Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield. (2008). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Kichian, Maral.
    In: Cahiers de recherche.
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15. A capacitated commodity trading model with market power. (2008). Martinezdealbeniz, Victor ; Vendrell, Josep M..
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16. Modelling Electricity Prices with Forward Looking Capacity Constraints. (2008). Figueroa, Marcelo ; Cartea, Álvaro ; Geman, Helyette.
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17. On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis. (2008). Turvey, Calum ; Power, Gabriel.
    In: 2008 Conference, April 21-22, 2008, St. Louis, Missouri.
    RePEc:ags:nccest:37608.

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18. Integrating Multiple Commodities in a Model of Stochastic Price Dynamics. (2007). Prokopczuk, Marcel ; Paschke, Raphael.
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19. Oil convenience yields estimated under demand/supply shock. (2007). Lin, William ; Duan, Chang-Wen.
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20. A Class of Gaussian Hybrid Processes for Modeling Financial Markets. (2007). .
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21. Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method. (2007). Erol, Isil ; Patel, Kanak.
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22. An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models. (2007). Nartea, Gilbert ; Xu, Haiyan ; Ward, Bert D..
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23. Managing food industry business and financial risks with commodity-linked credit instruments. (2006). Turvey, Calum.
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24. Valuing virtual production capacities on flow commodities. (2006). Hinz, Juri.
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25. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives. (2006). Schwartz, Eduardo S. ; Trolle, Anders B..
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26. Seasonal and stochastic effects in commodity forward curves. (2006). Borovkova, Svetlana ; Geman, Helyette.
    In: Review of Derivatives Research.
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27. Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion. (2006). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Kichian, Maral.
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28. UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts. (2006). Cartea, Álvaro ; Williams, Thomas.
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29. Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology. (2005). Routledge, Bryan ; Casassus, Jaime ; Collin-Dufresne, Pierre.
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30. On finite dimensional realizations for the term structure of futures prices. (2005). Bjork, Tomas ; Blix, Magnus ; Landen, Camilla.
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31. Market imperfections, discount factors and stochastic dominance: an empirical analysis with oil-linked derivatives. (2005). Gil-Bazo, Javier ; Downarowicz, Anna ; Balbas, Alejandro.
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32. Managing Food Industry Business and Financial Risks with Commodity-Linked Credit Instruments. (2005). Turvey, Calum.
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33. An Intraday Empirical Analysis of Electricity Price Behaviour. (2004). Platen, Eckhard ; Breymann, Wolfgang ; West, Jason.
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34. Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract. (2004). Lin, James Wuh ; Chen, An-Sing.
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35. Simple and extended Kalman filters: an application to term structures of commodity prices. (2004). Lautier, Delphine ; Galli, Alain.
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36. Pricing European commodity swaptions. (2004). Jarvinen, Sami ; Toivonen, Harri.
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37. What is going on in the oil market?. (2004). Brevik, Frode ; Kind, Axel.
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38. Housing Policy and Mortgage Finance in Turkey During the Late 1990s Inflationary Period. (2004). Erol, Isil ; Patel, Kanak.
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39. Confined exponential approximations for the valuation of American options. (2003). Lee, Jong Woo ; Paxson, Dean.
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40. COMPARING THE PERFORMANCES OF THE PARTIAL EQUILIBRIUM AND TIME-SERIES APPROACHES TO HEDGING. (2003). Haigh, Michael S. ; Bryant, Henry L..
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41. Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans. (2002). Richter, Martin ; Sorensen, Carsten.
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42. Electricity Forward Prices: A High-Frequency Empirical Analysis. (2002). Longstaff, Francis ; Wang, Ashley.
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43. ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis. (2002). Longstaff, Francis A ; Wang, Ashley.
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44. On the Term Structure of Futures and Forward Prices. (2000). Landen, Camilla.
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45. NEW INSTRUMENTS FOR CO-ORDINATION AND RISK SHARING WITHIN THE CANADIAN BEEF INDUSTRY. (2000). Unterschultz, James.
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46. Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Clewlow, Les ; Strickland, Chris .
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47. Valuing long-term commodity assets. (1998). Schwartz, Eduardo.
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48. Monte Carlo evaluation model of an undeveloped oil field. (1998). Cortazar, Gonzalo ; Schwartz, Eduardo S..
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49. Explaining the Persistence of Commodity Prices. (1997). Ruge-Murcia, Francisco ; Ng, Serena.
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50. Uncertainty and the price for crude oil reserves. (1996). Larson, Donald ; Considine, Timothy J..
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