| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089104 | Journal of Banking & Finance | 2013 | 18 Pages |
Abstract
⺠Volatility in many commodity markets exhibits a seasonal pattern. ⺠We integrate this seasonal volatility pattern in option pricing models. ⺠We study four different commodity markets. ⺠Including seasonal volatility significantly reduces pricing errors in all four markets.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Janis Back, Marcel Prokopczuk, Markus Rudolf,