retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration … relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …

volatility surface for euro-US dollar options, using a recently developed panel cointegration test that allows multiple …Implied volatility surface has been studied extensively for various option markets including equities, foreign … currencies, and commodities. Previous studies report that option implied volatility varies across moneyness, maturity, and time …