Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10662"
  #_source: array:26 [
    "id" => "10662"
    "slug" => "a-two-factor-cointegrated-commodity-price-model-with-an-application-to-spread-option-pricing"
    "yearMonth" => "2017-04"
    "year" => "2017"
    "title" => "A two-factor cointegrated commodity price model with an application to spread option pricing"
    "description" => "FARKAS, W., GOURIER, E., HUITEMA, R. et NECULA, C. (2017). A two-factor cointegrated commodity price model with an application to spread option pricing. <i>Journal of Banking & Finance</i>, 77(C), pp. 249-268."
    "authors" => array:4 [
      0 => array:3 [
        "name" => "GOURIER Elise"
        "bid" => "B00751169"
        "slug" => "gourier-elise"
      ]
      1 => array:1 [
        "name" => "FARKAS Walter"
      ]
      2 => array:1 [
        "name" => "HUITEMA Robert"
      ]
      3 => array:1 [
        "name" => "NECULA Ciprian"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:3 [
      0 => "cointegration"
      1 => "commodities"
      2 => "futures and options"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://www.sciencedirect.com/journal/journal-of-banking-and-finance/vol/77/suppl/C"
    "publicationInfo" => array:3 [
      "pages" => "249-268"
      "volume" => "77"
      "number" => "C"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward sloping (contango) and downward sloping (backwardation) term-structures, smaller volatilities for longer maturities and an upward sloping correlation term structure. The model is calibrated to futures price data of ten commodities. The results provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common commodity spreads (e.g., spark spread and crack spread) are thoroughly investigated."
      "en" => "In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward sloping (contango) and downward sloping (backwardation) term-structures, smaller volatilities for longer maturities and an upward sloping correlation term structure. The model is calibrated to futures price data of ten commodities. The results provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common commodity spreads (e.g., spark spread and crack spread) are thoroughly investigated."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-22T05:21:52.000Z"
    "docTitle" => "A two-factor cointegrated commodity price model with an application to spread option pricing"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/gourier-elise">GOURIER Elise</a>, FARKAS Walter, HUITEMA Robert, NECULA Ciprian"
    "docDescription" => "<span class="document-property-authors">GOURIER Elise, FARKAS Walter, HUITEMA Robert, NECULA Ciprian</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2017</span>"
    "keywordList" => "<a href="#">cointegration</a>, <a href="#">commodities</a>, <a href="#">futures and options</a>"
    "docPreview" => "<b>A two-factor cointegrated commodity price model with an application to spread option pricing</b><br><span>2017-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://www.sciencedirect.com/journal/journal-of-banking-and-finance/vol/77/suppl/C" target="_blank">A two-factor cointegrated commodity price model with an application to spread option pricing</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.098588
  +"parent": null
}