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Communication Dans Un Congrès Année : 2015

Commodity Futures price under co-integration

Résumé

Co-integration relationships among commodities are well established in various econometric studies. However their applications in derivatives pricing and risk-management remain to be challenging. Nakajima and Ohashi (2012) have been derived futures and call option prices under a co-integration version of the famous Gibson-Schwartz model. It arises that the prices under co-integration are actually given by very long formulas and involve technical and arduous computations. Our purpose in this work is to revisit the price of futures contract obtained by these two authors, with three main objectives: 1) to provide a price with an easily understandable statement form, 2) to perform very detailed proof, ensuring the result to be less error prone, 3) to implement the corresponding R-code, allowing the reader to benefit directly from the pricing formula. The form of price derived in this work has also the power to be workable for further explorations as in commodity portfolio risk measurement and hedging.
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Dates et versions

hal-01198682 , version 1 (14-09-2015)

Identifiants

  • HAL Id : hal-01198682 , version 1

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Victoria Galano, Jean-Marc Le Caillec, Yves Rakotondratsimba. Commodity Futures price under co-integration. XVI Workshop on quantitative finance, Jan 2015, Parme, Italy. ⟨hal-01198682⟩
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