Commodity spread option with cointegration
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Publication:1627674
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
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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