Co-movements, option pricing and risk management: an application to WTI versus Brent spread options

DOI10.1007/s10479-022-05059-7zbMATH Open1537.91316MaRDI QIDQ6549622

Domenico De Giovanni, Arturo Leccadito, Debora Loccisano

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

contagionexpected shortfallvalue at riskspread optionsco-moments

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Mutual excitation in Eurozone sovereign CDS
• Exchange Options Under Jump-Diffusion Dynamics
• Closed Form Approximations for Spread Options
• A Fourier Transform Method for Spread Option Pricing
• Robust Estimation, Nonnormalities, and Generalized Exponential Distributions
• Joint tests of contagion with applications
• Closed form spread option valuation
• A New Class of Tests of Contagion With Applications
• Empirical modelling of contagion: a review of methodologies
• Extremal dependence tests for contagion

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