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


Farkas, W; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2015). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing. SSRN 2679218, University of Zurich.

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Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2015
Deposited On:26 Nov 2015 11:05
Last Modified:16 Aug 2017 14:48
Series Name:SSRN
Free access at:Official URL. An embargo period may apply.
Official URL:http://ssrn.com/abstract=2679218
Other Identification Number:merlin-id:12580, 2679218

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