The Impact of Cointegration on Commodity Spread Options

DOI10.1007/978-3-319-33446-2_20zbMath1398.91583OpenAlexW2557589835MaRDI QIDQ4689923

Robert Huitema, Ciprian Necula, Elise Gourier, Walter Farkas

Publication date: 22 October 2018

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

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

zbMATH Keywords

simulationcointegrationfutures pricesspread optionscommodities

Mathematics Subject Classification ID

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

Cites Work

• COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW
• Multi-asset spread option pricing and hedging
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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