3 papers
q-fin.ST2025
A multi-factor model for improved commodity pricing: Calibration and an application to the oil market
Luca Vincenzo Ballestra, Christian Tezza
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic…
econ.EM2024
A GARCH model with two volatility components and two driving factors
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial asset…
econ.EM2024
GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
Christoffersen, Jacobs, Ornthanalai, and Wang (2008) (CJOW) proposed an improved Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for valuing European option…