Work

Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?

Year: 2017

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2017.05.012

Authors: Benjamin Cheng, Christina Sklibosios Nikitopoulos, Erik Schlögl

Institution: University of Technology Sydney

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Australian Research Council

Award: The modelling and estimation of volatility in energy markets

OpenAlex ID: W2617895141

FWCI: 3.975

Cites: 58

Cited by: 28

Related to: 10