Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper …

consider cash settlement and hedging with output commodity futures. We found that, when speculators are introduced, the …

markets. Special attention is devoted to the strategies based on roll-yields, inventory levels or hedging pressure that … directly arise from the theory of storage and the hedging pressure hypothesis. Alternative strategies based on past performance …

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper …

asymmetric effect when modeling joint dynamics of spot and futures returns and hence estimating hedging strategies …