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Persistent link: https://www.econbiz.de/10009697818
In this paper, we propose a commodity pricing model that extends Gibson-Schwartz two-factor model to incorporate the effect of linear relations among commodity prices, which include co-integration under certain conditions. We derive futures and call option pricing formulae, and show that unlike...
Persistent link: https://www.econbiz.de/10013009211
Persistent link: https://www.econbiz.de/10011619864