Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts
We construct a general multi-factor model for estimation and calibration of commodity spot prices and futures valuation. This extends the multi-factor long-short model in Schwartz and Smith (Manag Sci 893-911, 2000) and Yan (Review of Derivatives Research 5(3):251-271, 2002) in two important aspects...
| 主要な著者: | , , , |
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| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
2013
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