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dc.contributor.authorChen, Jilong
dc.contributor.authorEwald, Christian Oliver
dc.contributor.authorOuyang, Ruolan
dc.contributor.authorWestgaard, Sjur
dc.contributor.authorXiao, Xiaoxia
dc.date.accessioned2021-10-01T10:51:28Z
dc.date.available2021-10-01T10:51:28Z
dc.date.created2021-08-10T14:31:37Z
dc.date.issued2021
dc.identifier.citationAnnals of Operations Research. 2021, .en_US
dc.identifier.issn0254-5330
dc.identifier.urihttps://hdl.handle.net/11250/2786965
dc.description.abstractIn 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 conveniently in closed form. Further, we use Brent crude oil futures prices to calibrate the model using the extended Kalman filter. In comparison to the benchmark model for commodity futures pricing, the Schwartz two-factor model, our three factor model shows a superior fit for contracts that have longer maturities. We further assess risk premia in Brent crude oil through the two models and observe that the Schwartz two-factor model over-predicts risk premia in comparison to the new model.en_US
dc.language.isoengen_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.titlePricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oilen_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionpublishedVersionen_US
dc.source.pagenumber18en_US
dc.source.journalAnnals of Operations Researchen_US
dc.identifier.doi10.1007/s10479-021-04198-7
dc.identifier.cristin1925105
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1


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Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal