Valuation of commodity option prices under a regime-switching model with stochastic convenience yield: Model calibration using flower pollination optimization algorithm

This research work seeks to construct a model for commodity spot prices by incorporating the concept of stochastic convenience yield within a Markov-switching framework. The model presented in this paper applies the Gibson-Schwartz commodity model under the risk-neutral measure, enabling regime-swit...

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Veröffentlicht in:	Journal of computational and applied mathematics Jg. 476; S. 117150
Hauptverfasser:	Hamdi, A., Aksikas, I., Smaoui, H., Mehrdoust, F., Noorani, I.
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Elsevier B.V 01.04.2026
Schlagworte:	Calibration Commodity derivatives Expectation–maximization algorithm Flower pollination algorithm Regime-switching model Regime-switching model Calibration Commodity derivatives Expectation–maximization algorithm Flower pollination algorithm
ISSN:	0377-0427
Online-Zugang:	Volltext
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