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	2016/03
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	Commodity Spread Option with Cointegration
執筆形態	共著
掲載誌名	Asia-Pacific Financial Markets
巻・号・頁	23(1),pp.1-44
著者・共著者	大橋和彦
概要	We derive the valuation formula of a European call option on the spread of two cointegrated commodity futures prices, based on the Gibson–Schwartz with cointegration (GSC) model. We also analyze the American commodity spread option including the early exercise premium representation and an analytical approximation valuation formulae with cointegration. In the numerical analysis, we compare the spread option values calculated by the GSC model and the Gibson–Schwartz (GS) model that ignores cointegration. Consistent with the intuition that the cointegration prevents the prices from diverging, the GSC model prices the commodity spread option lower than the GS model which have longer maturity of more than 6 years. In other words, the GS model may overprice the commodity spread options for those with longer maturity without taking account of cointegration.
DOI	https://doi.org/10.1007/s10690-015-9207-1
ISSN	1387-2834