Browsing Brage INN by Author "Westgaard, Sjur"
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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
Chen, Jilong; Ewald, Christian Oliver; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia (Peer reviewed; Journal article, 2021)In this paper we introduce a three factor model to price commodity futures contracts. This model allows both the spot price volatility and convenience yield to be stochastic, nevertheless futures prices can be obtained ...