A two-factor cointegrated commodity price model with an application to spread option pricing
Metadata only
Date
2017-04Type
- Journal Article
Citations
Cited 10 times in
Web of Science
Cited 10 times in
Scopus
ETH Bibliography
yes
Altmetrics
Publication status
publishedExternal links
Journal / series
Journal of Banking & FinanceVolume
Pages / Article No.
Publisher
ElsevierSubject
Cointegration; Commodities; Crack spread; Futures; Option pricing; Spark spread; Spread optionsNotes
Published online 17 January 2017.More
Show all metadata
Citations
Cited 10 times in
Web of Science
Cited 10 times in
Scopus
ETH Bibliography
yes
Altmetrics