Commodity spread option with cointegration

DOI10.1007/s10690-015-9207-1zbMath1418.91529OpenAlexW3124549821MaRDI QIDQ1627674

Katsushi Nakajima, Kazuhiko Ohashi

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-015-9207-1

zbMATH Keywords

energycommodity pricescointegrationconvenience yieldspread option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Variational inequalities and the pricing of American options
• On the pricing of American options
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing commodity spread options with stochastic term structure of convenience yields and interest rates
• The Valuation of American Options on Multiple Assets
• THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹

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