caa a22 4500 605451060 CHVBK 20210128100149.0 cr unu---uuuuu 210128e20150401xx s 000 0 eng 10.1007/s11147-014-9104-1 doi (NATIONALLICENCE)springer-10.1007/s11147-014-9104-1 Commodity derivative valuation under a factor model with time-varying market prices of risk [Elektronische Daten] [Andrés Mirantes, Javier Población, Gregorio Serna] It is well known that market prices of risk play an important role in commodity derivative valuation. There is an extensive literature showing that market prices of risk vary through time. Based on these results, a factor model, with two long- and short-term factors, with market prices of risk depending on these underlying asset factors is proposed and estimated, using data from crude oil, heating oil, unleaded gasoline and natural gas futures prices traded at NYMEX. The valuation results obtained with an extensive sample of commodity American options traded at NYMEX show that this model with time-varying market prices of risk outperforms standard models with constant market prices of risk. Springer Science+Business Media New York, 2014 Market price of risk nationallicence Commodity prices nationallicence Commodity derivatives nationallicence Stochastic processes nationallicence Kalman filter nationallicence Mirantes Andrés IES Juan del Enzina, c/ Ramón y Cajal 2, 24002, León, Spain aut Población Javier D.G.A. Supervisión, Banco de España, C/ Alcalá 48, 28014, Madrid, Spain aut Serna Gregorio Facultad de Ciencias Económicas y Empresariales, Universidad de Alcalá, Plaza de la Victoria, 2, 28802, Alcalá de Henares, Madrid, Spain aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/1(2015-04-01), 75-93 1380-6645 18:1<75 2015 18 11147 https://doi.org/10.1007/s11147-014-9104-1 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-014-9104-1 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Mirantes Andrés IES Juan del Enzina, c/ Ramón y Cajal 2, 24002, León, Spain aut NATIONALLICENCE 700 1- Población Javier D.G.A. Supervisión, Banco de España, C/ Alcalá 48, 28014, Madrid, Spain aut NATIONALLICENCE 700 1- Serna Gregorio Facultad de Ciencias Económicas y Empresariales, Universidad de Alcalá, Plaza de la Victoria, 2, 28802, Alcalá de Henares, Madrid, Spain aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/1(2015-04-01), 75-93 1380-6645 18:1<75 2015 18 11147