Option valuation with co-integrated asset prices

By Jin-Chuan Duan, Stanley R. Pliska. 2000

92 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a466ca2a931945f79698e8e65dce41ab522df5d7

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Citations in the corpus

Spread Option Valuation and the Fast Fourier Transform (2002, background): “There is a wide variety of such options traded across different sectors of the financial markets; for example, the crack spread and crush spread options in the commodity markets [16, 22], credit spread options in the fixed income markets, index spread options in the equity markets [10] and the spark”
A General Closed-Form Spread Option Pricing Formula (2013, unknown): “A recent empirical analysis on the crack spread is that of Dempster et al. (2008) and Duan and Pliska (2004).”
Pricing and Hedging Spread Options (2003, background): “Because of their generic nature, spread options are used in markets as varied as fixed income markets, currency and foreign exchange markets, commodity futures markets, and energy markets.”
Pricing Asset Scheduling Flexibility using Optimal Switching (2008, background): “Empirical studies ( Duan and Pliska 2004, Eydeland and Wolyniec 2003) have suggested that the spark spread Pt HR·Gt is indeed stationary.”
Model-based pairs trading in the bitcoin markets (2017, background): “The second one by Lei and Xu (2015) determines multiple entry and exit-points during a trading period and includes a performance study carried out on dual-listed Chinese stocks.”
Dynamic Pairs Trading Using the Stochastic Control Approach (2013, unknown): “The parameters in our co-integration model can be estimated as in [2], by using a two-step Engle-Granger [5] method coupled with a Dicker-Fulley test.”