Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Christian-Olivier Ewald; Roy Nawar; Tak Kuen Siu
| Year of publication: |
2013
|
|---|---|
| Authors: | Ewald, Christian-Olivier ; Nawar, Roy ; Siu, Tak Kuen |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 36.2013, p. 97-107
|
| Subject: | Quadratic hedging | Jump-diffusion models | Natural gas options | Energy derivatives | Resource economics | Hedging | Optionspreistheorie | Option pricing theory | Erdgas | Natural gas | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Rohstoffderivat | Commodity derivative | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009724764