Co-movements, option pricing and risk management: an application to WTI versus Brent spread options

DOI10.1007/S10479-022-05059-7MaRDI QIDQ6549622zbMATH OpenFDO

Authors Domenico De Giovanni, Arturo Leccadito, Debora Loccisano

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-05059-7

zbMATH Keywords

co-momentscontagionexpected shortfallspread optionsvalue at risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A Fourier transform method for spread option pricing
• A new class of tests of contagion with applications
• Analysis of financial time series
• Closed form approximations for spread options
• Closed form spread option valuation
• Empirical modelling of contagion: a review of methodologies
• Exchange Options Under Jump-Diffusion Dynamics
• Extremal dependence tests for contagion
• scientific article; zbMATH DE number 1724307 (Why is no real title available?)
• Joint tests of contagion with applications
• Mutual excitation in Eurozone sovereign CDS
• Robust Estimation, Nonnormalities, and Generalized Exponential Distributions

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