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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.

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Title: Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil.
Authors: Chen, Jilong1, Ewald, Christian2,3, Ouyang, Ruolan4, ruolanoy@outlook.com, Westgaard, Sjur5, Xiao, Xiaoxia4
Source: Annals of Operations Research; Jun2022, Vol. 313 Issue 1, p29-46, 18p
Database: Applied Science & Technology Source
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Header DbId: aci
DbLabel: Applied Science & Technology Source
An: 157413174
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PubType: Academic Journal
PubTypeId: academicJournal
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  Data: Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil.
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  Data: <searchLink fieldCode="JN" term="%22Annals+of+Operations+Research%22">Annals of Operations Research</searchLink>; Jun2022, Vol. 313 Issue 1, p29-46, 18p
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      – Type: doi
        Value: 10.1007/s10479-021-04198-7
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      – Code: eng
        Text: English
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      – TitleFull: Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil.
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            NameFull: Chen, Jilong
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            – D: 01
              M: 06
              Text: Jun2022
              Type: published
              Y: 2022
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              Value: 313
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