NAKAJIMA Katsushi    Department   Ritsumeikan Asia Pacific University  College of International Management    Position   Associate Professor
Language	English
Publication Date	2012/11
Type	Research paper (Academic/Professional Journal)
Peer Review	Peer reviewed
Title	A Cointegrated Commodity Pricing Model
Contribution Type	Joint Work
Journal	Journal of Futures Markets
Volume, Issue, Page	32(11),pp.995-1033
Author and coauthor	大橋和彦
Details	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