Gibson-Schwartz Commodity Models
The article extends the Gibson and Schwartz 1990 and Schwartz and Smith 2000 twofactor models for commodity spot price to include stochastic volatility and correlation, improving match with volatility smiles and studying timevarying correlation in commodity markets.
Featured in No. 55 on 3 Jul 2024 · 2 days after release
- Released
- 1 Jul 2024
- First featured
- No. 55 · 3 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 2
- Identifier
- SSRN 4881648
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