Option valuation with co-integrated asset prices

DOI10.1016/S0165-1889(03)00042-3MaRDI QIDQ951492zbMATH OpenFDO

Authors Jin-Chuan Duan, Stanley R. Pliska

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1889(03)00042-3

zbMATH Keywords

co-integrationdiffusion limitGARCHoption valuationspread options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• ARCH models as diffusion approximations
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 1222790 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Option Pricing in ARCH-type Models
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(23)

• Costly arbitrage through pairs trading
• Dynamic pairs trading using the stochastic control approach
• Pairs trading with illiquidity and position limits
• Optimal market-making strategies under synchronised order arrivals with deep neural networks
• Mean-variance asset-liability management: cointegrated assets and insurance liability
• Robust dynamic pairs trading with cointegration
• Cointegration in continuous time for factor models
• Commodity derivatives pricing with cointegration and stochastic covariances
• Determining the number of factors in a multivariate error correction-volatility factor model
• scientific article; zbMATH DE number 1491042 (Why is no real title available?)
• scientific article; zbMATH DE number 1795846 (Why is no real title available?)
• Model-based pairs trading in the bitcoin markets
• Pairs trading under drift uncertainty and risk penalization
• The impact of cointegration on commodity spread options
• Time series regression on integrated continuous-time processes with heavy and light tails
• Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
• Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
• Analytic valuation of GMDB options with utility based asset allocation
• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Optimal investment and consumption under a continuous-time cointegration model with exponential utility
• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Mean-variance portfolio selection of cointegrated assets
• Co-movements, option pricing and risk management: an application to WTI versus Brent spread options

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