This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma, vega and interest rate hedge. Factor hedging is...

To assess the economic determinants of oil futures volatility, we firstly develop and estimate a multi-factor oil futures pricing model with stochastic volatility that is able to disentangle long-term, medium-term and short-term variations in commodity markets volatility. The volatility...

Since 2008, the usually negative crude oil futures spread has been positive for extended periods, raising doubts about conventional explanations. We re-examine the dynamics of the futures spread using monthly VARs on the CME WTI oil futures spread, OECD and U.S. oil and petroleum inventories and...