A two-factor cointegrated commodity price model with an application to spread option pricing
Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
| Year of publication: |
April 2017
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|---|---|
| Authors: | Farkas, Walter ; Gourier, Elise ; Huitema, Robert ; Necula, Ciprian |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 77.2017, p. 249-268
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| Subject: | Commodities | Cointegration | Futures | Option pricing | Spread options | Spark spread | Crack spread | Optionspreistheorie | Option pricing theory | Kointegration | Derivat | Derivative | Zinsstruktur | Yield curve | Rohstoffderivat | Commodity derivative | Rohstoffpreis | Commodity price | Volatilität | Volatility | Optionsgeschäft | Option trading | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2017.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011814773