Co-movements, option pricing and risk management: an application to WTI versus Brent spread options (Q6549622)
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scientific article; zbMATH DE number 7859366
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| default for all languages | No label defined |
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| English | Co-movements, option pricing and risk management: an application to WTI versus Brent spread options |
scientific article; zbMATH DE number 7859366 |
Statements
Co-movements, option pricing and risk management: an application to WTI versus Brent spread options (English)
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4 June 2024
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contagion
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spread options
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co-moments
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value at risk
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expected shortfall
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0.713313639163971
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0.7062005400657654
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0.7008935809135437
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0.7002630829811096
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