Advanced search
Publication Cover
The European Journal of Finance Volume 14, 2008 - Issue 2: RECENT ADVANCES IN MEASURING AND MANAGING MARKET RISK
Submit an article Journal homepage
297
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

Commodity volatility modelling and option pricing with a potential function approach

Jasper Anderluh Delft University of Technology, Delft, The Netherlands and Free University of Amsterdam, Amsterdam, The Netherlands
&
Svetlana Borovkova Delft University of Technology, Delft, The Netherlands and Free University of Amsterdam, Amsterdam, The NetherlandsCorrespondence[email protected]
Pages 91-113 | Published online: 20 Feb 2008

Citations (6)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Jung-Bin Su. (2015) How candlestick features affect the performance of volatility forecasts: evidence from the stock market. The European Journal of Finance 21:6, pages 486-506.
Read now

Articles from other publishers (5)

Matteo Bonato, Oğuzhan Çepni, Rangan Gupta & Christian Pierdzioch. (2022) El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. Journal of Forecasting 42:4, pages 785-801.
Crossref
Stavros Degiannakis, George Filis, Tony Klein & Thomas Walther. (2022) Forecasting realized volatility of agricultural commodities. International Journal of Forecasting 38:1, pages 74-96.
Crossref
Natalya A. Schenck, Philip A. Horvath & Amit K. Sinha. (2018) Understanding price discovery in interconnected markets: Generalized Langevin process approach and simulation. Physica A: Statistical Mechanics and its Applications 491, pages 741-748.
Crossref
Stavros Antonios Degiannakis, George Filis, Tony Klein & Thomas Walther. (2019) Forecasting Realized Volatility of Agricultural Commodities. SSRN Electronic Journal.
Crossref
Amir H. Alizadeh & Wayne K. Talley. (2009) Dynamics of the Forward Curve and Volatility of Energy Futures Prices. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.