ナカジマ カツシ   NAKAJIMA Katsushi   中島 克志    所属   立命館アジア太平洋大学  国際経営学部    職種   准教授
言語種別	英語
発行・発表の年月	2012/11
形態種別	論文（学術誌・プロフェショナル誌）
査読	査読あり
標題	A Cointegrated Commodity Pricing Model
執筆形態	共著
掲載誌名	Journal of Futures Markets
巻・号・頁	32(11),pp.995-1033
著者・共著者	大橋和彦
概要	We propose a commodity pricing model that extends the Gibson–Schwartz two-factor model to incorporate the effect of linear relations among commodity spot prices, and provide a condition under which such linear relations represent cointegration. We derive futures and call option prices for the proposed model, and indicate that, unlike in Duan and Pliska (2004), the linear relations among commodity prices should affect commodity derivative prices, even when the volatilities of commodity returns are constant. Using crude oil and heating oil market data, we estimate the model and apply the results to the hedging of long-term futures using short-term ones.
DOI	https://doi.org/10.1002/fut.20553
ISSN	1096-9934