Browsing Working Papers by Author "Bisht, Deepak"
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Assessment of density forecast for energy commodities in post-financialization era
Bisht, Deepak; Laha, Arnab Kumar (Indian Institute of Management Ahmedabad, 2017-07-31)Probability density for the future price of an asset can be estimated from historical asset prices or exchange-traded derivatives. In this paper, prices of futures and options contracts that embed the forward-looking ... -
Pricing option on commodity futures under string shock
Bisht, Deepak; Laha, Arnab Kumar (Indian Institute of Management Ahmedabad, 2017-07-26)Forward curve movements, particularly of industrial and energy commodities, suggests that futures price do not move in tandem with the spot price, and not all futures contracts move in the same direction. We incorporate ...