A Two-Factor Cointegrated Commodity Price Model with an...

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SSRN Electronic Journal 2015

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Farkas, Walter, Gourier, Elise, Huitema, Robert, Necula, Ciprian
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Year:
2015
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2679218
File:
PDF, 1.70 MB
english, 2015
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