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We study the properties of a particular specification of the generalized bivariate normal distribution which allows for co-volatility and co-skewness. With this probability distribution, formulae for single-name and exchange options can be evaluated quickly since they are based on one-dimensional integrals. We provide a very precise approximation formula for spread option prices and derive the corresponding greeks. We perform a day-to-day re-estimation of the probability distribution on a dataset of WTI vs Brent spread options, showing the ability of this specification to capture the salient empirical features observed in the market. Finally, we show the impact of co-movements on portfolio risk management.\n<\/jats:p>","DOI":"10.1007\/s10479-022-05059-7","type":"journal-article","created":{"date-parts":[[2022,11,14]],"date-time":"2022-11-14T15:02:57Z","timestamp":1668438177000},"page":"1039-1061","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Co-movements, option pricing and risk management: an application to WTI versus Brent spread options"],"prefix":"10.1007","volume":"336","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5851-6064","authenticated-orcid":false,"given":"Domenico","family":"De Giovanni","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9101-4242","authenticated-orcid":false,"given":"Arturo","family":"Leccadito","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2834-0368","authenticated-orcid":false,"given":"Debora","family":"Loccisano","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2022,11,14]]},"reference":[{"issue":"1","key":"5059_CR1","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1093\/jjfinec\/nbv024","volume":"14","author":"Y A\u00eft-Sahalia","year":"2015","unstructured":"A\u00eft-Sahalia, Y., & Hurd, T. 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