A two-factor cointegrated commodity price model with an application to spread option pricing - Research Collection

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Author

Huitema, Robert

Necula, Ciprian

Date

2017-04

Type

Journal Article

Citations

Cited 3 times in Web of Science

Cited 5 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.jbankfin.2017.01.007

Journal / series

Journal of Banking & Finance

Volume

77

Pages / Article No.

249 - 268

Publisher

Elsevier

Subject

Cointegration; Commodities; Crack spread; Futures; Option pricing; Spark spread; Spread options

Notes

Published online 17 January 2017.

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Citations

Cited 3 times in Web of Science

Cited 5 times in Scopus

ETH Bibliography

yes

Altmetrics