The impact of cointegration on commodity spread options

DOI10.1007/978-3-319-33446-2_20MaRDI QIDQ4689923zbMATH OpenOpenAlexFDO

Authors Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula

Publication date 22 October 2018

Published in Innovations in Derivatives Markets (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/978-3-319-33446-2_20

zbMATH Keywords

cointegrationcommoditiesfutures pricessimulationspread options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Commodity spread option with cointegration
• Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
• Option valuation with co-integrated asset prices
• Commodity derivatives pricing with cointegration and stochastic covariances
• Cointegration in continuous time for factor models

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Commodity price dynamics and derivative valuation: a review
• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Multi-asset spread option pricing and hedging

Cited in

(4)

• Commodity spread option with cointegration
• Commodity derivatives pricing with cointegration and stochastic covariances
• scientific article; zbMATH DE number 1795846 (Why is no real title available?)
• Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

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