1. A multi-factor model for improved commodity pricing: Calibration and an application to the oil market. (2025). Ballestra, Luca Vincenzo ; Tezza, Christian.
   In: Papers.
   RePEc:arx:papers:2501.15596.

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2. Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. (2024). Brignone, Riccardo ; Sgarra, Carlo ; Gonzato, Luca.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05152-x.

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3. Financial boundary conditions in a continuous model with discrete-delay for pricing commodity futures and its application to the gold market. (2024). Martnez-Rodrguez, Julia ; Lpez-Marcos, Miguel Ngel ; Gmez-Valle, Lourdes.
   In: Chaos, Solitons & Fractals.
   RePEc:eee:chsofr:v:187:y:2024:i:c:s0960077924010282.

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4. Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods. (2022). Ma, Zonggang ; Wu, Zhijian.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09181-9.

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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. Including Jumps in the Stochastic Valuation of Freight Derivatives. (2021). Gomez-Valle, Lourdes ; Martinez-Rodriguez, Julia.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:2:p:154-:d:479372.

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7. Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Gonzato, Luca ; Sgarra, Carlo.
   In: Energy Economics.
   RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

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8. Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process. (2020). Li, Ying ; Wu, Yang-Che ; Gong, Xiaoye ; Yang, Wan-Shiou.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120302648.

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9. Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico.
   In: Documentos de Trabajo del ICAE.
   RePEc:ucm:doicae:1929.

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10. Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023.

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11. A particle filtering approach to oil futures price calibration and forecasting. (2018). Fileccia, Gaetano ; Sgarra, Carlo.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:9:y:2018:i:c:p:21-34.

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12. Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance. (2018). Prokopczuk, Marcel ; Ronn, Ehud I ; Roncoroni, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:95:y:2018:i:c:p:1-4.

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13. The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Chen, Ting-Fu ; Lin, Shih-Kuei ; Hsu, Chih-Chen.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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14. A four-factor stochastic volatility model of commodity prices. (2017). Spinler, Stefan ; Schone, Max F.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

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15. 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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16. 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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17. Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts. (2013). Shevchenko, Pavel ; Briers, Mark ; Peters, Gareth William ; Doucet, Arnaud.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:15:y:2013:i:4:d:10.1007_s11009-012-9286-7.

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18. 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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19. Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. (2011). Shevchenko, Pavel V. ; Briers, Mark ; Peters, Gareth W. ; Doucet, Arnaud.
    In: Papers.
    RePEc:arx:papers:1105.5850.

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20. 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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21. Catastrophe risk management with counterparty risk using alternative instruments. (2010). Wu, Yang-Che ; Chung, San-Lin.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:2:p:234-245.

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22. Dynamic Hedging Strategies: An Application to the Crude Oil Market. (2010). Lautier, Delphine ; Galli, Alain.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/5470.

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23. A Preference-Free Formula to Value Commodity Derivatives. (2007). Rodriguez, J C.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:7354a9fa-3202-40c1-aeb2-adb17d5abcc7.

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24. A Preference-Free Formula to Value Commodity Derivatives. (2007). Rodríguez, Juan.
    In: Discussion Paper.
    RePEc:tiu:tiucen:7354a9fa-3202-40c1-aeb2-adb17d5abcc7.

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25. An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives. (2007). Wu, Ting-Yi ; Wang, Chou-Wen.
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:6:y:2007:i:2:p:121-134.

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26. Segmentation in the Crude Oil Futures Term Structure. (2005). Lautier, Delphine.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/95.

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1. Large-Scale Empirical Tests of the Markov Tree Model. (2015). Kumar, Nitesh ; Bhat, Harish S.
   In: IJFS.
   RePEc:gam:jijfss:v:3:y:2015:i:3:p:280-318:d:53227.

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2. Option pricing with non-Gaussian scaling and infinite-state switching volatility. (2015). Caporin, Massimiliano ; Caraglio, Michele ; Zamparo, Marco ; Baldovin, Fulvio ; Stella, Attilio L..
   In: Journal of Econometrics.
   RePEc:eee:econom:v:187:y:2015:i:2:p:486-497.

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3. The Convenience Yield and the Informational Content of the Oil Futures Price. (2015). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Jean-Thomas, Lynda Khalaf .
   In: The Energy Journal.
   RePEc:aen:journl:ej36-2-02.

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4. The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate. (2014). Zhang, Xili ; Chen, Xiaoyan ; Xiao, Weilin.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:394:y:2014:i:c:p:320-337.

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5. Option pricing with non-Gaussian scaling and infinite-state switching volatility. (2014). Caporin, Massimiliano ; Caraglio, Michele ; Zamparo, Marco ; Baldovin, Fulvio ; Stella, Attilio .
   In: Papers.
   RePEc:arx:papers:1307.6322.

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6. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. (2013). Fengler, Matthias ; Audrino, Francesco.
   In: Economics Working Paper Series.
   RePEc:usg:econwp:2013:11.

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7. A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data. (2013). Bos, Charles ; Janus, Pawel.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20130155.

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8. A lattice model for option pricing under GARCH-jump processes. (2013). Wu, Ping-Da ; Hung, Mao-Wei ; Wang, Jr-Yan ; Lin, Bing-Huei.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:16:y:2013:i:3:p:295-329.

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9. Clustering and Classification in Option Pricing. (2011). Gradojevic, Nikola ; Gencay, Ramazan ; Kukolj, Dragan.
   In: Review of Economic Analysis.
   RePEc:ren:journl:v:3:y:2011:i:2:p:109-128.

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10. Can standard preferences explain the prices of out-of-the-money S&P 500 put options?. (2011). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2011-11.

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11. The variance risk premium around the world. (2011). Londono, Juan M..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1035.

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12. Intraday volatility forecasting from implied volatility. (2011). Byun, Suk Joon ; Kim, Sol ; Rhee, Dong Woo.
    In: International Journal of Managerial Finance.
    RePEc:eme:ijmfpp:v:7:y:2011:i:1:p:83-100.

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13. Explaining asset pricing puzzles associated with the 1987 market crash. (2011). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:3:p:552-573.

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14. Regime-Dependent Smile-Adjusted Delta Hedging. (2010). Alexander, Carol ; Leontsinis, Stamatis ; Kalepky, Markus ; Rubinov, Alexander .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2010-10.

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15. Does model fit matter for hedging? Evidence from FTSE 100 options. (2010). Alexander, Carol ; Kaeck, Andreas.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2010-05.

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16. Pricing American options under stochastic volatility and stochastic interest rates. (2010). Scaillet, Olivier ; Medvedev, Alexey.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:145-159.

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17. Returns of claims on the upside and the viability of U-shaped pricing kernels. (2010). Bakshi, Gurdip ; Panayotov, George ; Madan, Dilip.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:97:y:2010:i:1:p:130-154.

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18. Misreaction or misspecification? A re-examination of volatility anomalies. (2010). Tian, Yisong S. ; Jiang, George J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:10:p:2358-2369.

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19. Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. (2010). Pelsser, Antoon ; Plat, Richard ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:3:p:266-277.

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20. Option pricing with asymmetric heteroskedastic normal mixture models. (2010). Stentoft, Lars ; Rombouts, Jeroen ; Rombouts, Jeroen V. K., .
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2010049.

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21. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models. (2010). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-44.

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22. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0926.

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23. Market imperfections and the information content of implied and realized volatility. (2009). Wong, Woon ; Tu, Anthony H..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:17:y:2009:i:1:p:58-79.

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24. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448.

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25. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-19.

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26. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-07.

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27. Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield. (2008). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Kichian, Maral.
    In: Cahiers de recherche.
    RePEc:lvl:lagrcr:0801.

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28. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. (2008). Wu, Liuren ; Carr, Peter ; Bakshi, Gurdip.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:132-156.

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29. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:223.

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30. Model-free hedge ratios and scale-invariant models. (2007). Alexander, Carol ; Nogueira, Leonardo M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:6:p:1839-1861.

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31. Static versus dynamic hedges: an empirical comparison for barrier options. (2006). Fengler, Matthias ; Engelmann, Bernd ; Schwendner, Peter ; Nalholm, Morten .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264.

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32. Estimation of continuous-time models with an application to equity volatility dynamics. (2006). OU-YANG, HUI ; ju, nengjiu ; Bakshi, Gurdip.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:82:y:2006:i:1:p:227-249.

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33. Gains from structured product markets: The case of reverse-exchangeable securities (RES). (2006). Pissaris, Seema ; Benet, Bruce A. ; Giannetti, Antoine.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:1:p:111-132.

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34. Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options. (2005). Benzoni, Luca ; GOLDSTEIN, ROBERT S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11861.

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35. Variance Risk Premia. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409015.

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36. Stochastic Skew in Currency Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409014.

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37. Some evidence in the trading and pricing of equity LEAPS. (2004). Guo, Weiyu.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:13:y:2004:i:4:p:407-426.

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38. Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market. (2004). Kim, Sol ; Kim, In Joon, .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:12:y:2004:i:2:p:117-142.

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39. Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing. (2004). Moraux, Franck.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:13:y:2004:i:1:p:47-61.

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40. The dynamics of stochastic volatility: evidence from underlying and options markets. (2003). Jones, Christopher S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:181-224.

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41. Simulation-based exact jump tests in models with conditional heteroskedasticity. (2003). Khalaf, Lynda ; Bilodeau, Jean-Francois ; Saphores, Jean-Daniel.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2003:i:3:p:531-553.

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42. An object-oriented framework for valuing shout options on high-performance computer architectures. (2003). Coleman, T. F. ; FORSYTH, P. A. ; Vetzal, K. R. ; Windcliff, H. ; Verma, A..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:6:p:1133-1161.

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43. Valuation of commodity derivatives in a new multi-factor model. (2002). Yan, Xuemin.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271.

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44. Revisited multi-moment approximate option pricing models: a general comparison (Part 1). (2002). Negrea, Bogdan ; Maillet, Bertrand ; Jurczenko, Emmanuel.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24950.

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45. GARCH vs. stochastic volatility: Option pricing and risk management. (2002). Lehar, Alfred ; Scheicher, Martin ; Schittenkopf, Christian .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:323-345.

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46. An Empirical Investigation of Continuous-Time Equity Return Models. (2001). Benzoni, Luca ; Andersen, Torben ; Lund, Jesper .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8510.

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47. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-09.

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48. Valuation of segregated funds: shout options with maturity extensions. (2001). FORSYTH, P. A. ; Vetzal, K. R. ; Windcliff, H..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:29:y:2001:i:1:p:1-21.

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49. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-01.

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50. SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE. (2000). Fiorentini, Gabriele ; Leon, ngel ; Rubio, Gonzalo.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2000-25.

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