Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?

Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets?

“…In addition to the above literature, studies such as Suenaga and Smith (2011), Back et al (2013), Koekebakker and Lien (2004), Arismendi et al (2016) and Ewald and Zou (2021) attempt to model seasonality in the volatility of commodity prices. With risk aversion, this can lead to time varying and in fact seasonal risk premia.…”

Trading time seasonality in electricity futures

“…Furthermore, our study adds a seasonal element to the well-known studies on hedging pressure (e.g., Hirshleifer, 1990;Bessembinder, 1992;Roon et al, 2000;Basu and Miffre, 2013). Finally, because in general the pricing kernel can be linked to volatility, our study is related to studies on seasonal changes in volatility (e.g., Ewald and Zou, 2021;Koekebakker and Lien, 2004). Our study also expands on Hirshleifer (1991), providing empirical evidence that his Proposition 1 is violated in the real world under more general assumptions.…”

Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil

“…A positive relationship between spot price and convenience yield is demonstrated, consistent with Casassus and Collin-Dufresne (2005) and many others. Our model is also related to the more sophisticated and more general three factor model presented in Ewald and Zou (2021). However, the latter only presents semi-closed form solutions (relative to the solution of a Riccati differential equation), while in our paper, thanks to some simplifications and assumptions on the market prices of risk, a "true" closed form solution can be obtained.…”