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Hilliard, J.E. and Reis, J. (1998) Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot. Journal of Financial and Quantitative Analysis, 33, 61-86.
https://doi.org/10.2307/2331378

has been cited by the following article:

• TITLE: Evaluating Energy Forward Dynamics Modeled as a Subordinated Hilbert-Space Linear Functional

  AUTHORS: Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu

  KEYWORDS: Energy, Subordination, Hilbert-Space, Jump-Diffusion, Prices, Stochastic, Futures, Forwards, Contract, Volatility, Lévy Process

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.3, August 25, 2020

  ABSTRACT: In this study, we evaluate energy forward dynamics modeled as time-change Hilbert-space of linear functional. The energy forward is represented as an element of Hilbert-space of function. Representing energy forward and futures contracts as a time-changing stochastic process in a Hilbert-space of functions shows clearly, that an arbitrage-free forward price can be derived from the buy-and hold strategy in the energy market thereby enabling investors in the market willing to be salvage from the market uncertainties as well as Arrow-Debreu situations to execute a spot or forward contracts depending on the time and place the market becomes favorable. With a clock measuring speed of evolution or data frequency for the energy stock market, the distribution of the increments of the Lévy process with the subordinator is subordinated to the distribution of increments of the Lévy process and the results are utilized to price forward contracts of a sample electricity commodity.