Three-factor commodity forward curve model and its joint P and Q dynamics

Sergiy Ladokhin and Svetlana Borovkova

Energy Economics, 2021, vol. 101, issue C

Abstract: In this paper, we propose a new framework for modeling commodity forward curves. The proposed model describes the dynamics of fundamental driving factors simultaneously under physical (P) and risk-neutral (Q) probability measures.

Keywords: Commodity forward curve; Derivatives pricing; Oil futures; Joint dynamics model; Kalman filter; Brent oil futures (search for similar items in EconPapers)
JEL-codes: C13 C30 C51 G13 G17 Q41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003121

DOI: 10.1016/j.eneco.2021.105418

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