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Minimal Variance Hedging of Natural Gas Derivatives in Exponential Levy Models : Theory and Empirical Performance

Ewald, Christian-Oliver - 2012

We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded … assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which … minimizes the variance of the terminal hedging error, in terms of stochastic integral representations of the payoffs of the …

Persistent link: https://www.econbiz.de/10013100831

Risk-averse and risk-seeking investor preferences for oil spot and futures

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10010191274

Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models

Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330

Persistent link: https://www.econbiz.de/10010357373

Pricing option on commodity futures under string shock

Bisht, Deepak; Laha, Arnab Kumar - 2017

Persistent link: https://www.econbiz.de/10011691532

Stochastic seasonality in commodity prices : the case of US natural gas

Chen, Sheng-Hung; Song Zan Chiou Wei; Zhu, Zhen - In: Empirical economics : a quarterly journal of the … 62 (2022) 5, pp. 2263-2284

Persistent link: https://www.econbiz.de/10013197300

Pricing of Long-Dated Commodity Derivatives : Do Stochastic Interest Rates Matter?

Cheng, Benjamin - 2020

Does modelling stochastic interest rates, beyond stochastic volatility, improve pricing performanceon long-dated commodity derivatives? To answer this question, we consider futuresprice models for commodity derivatives that allow for stochastic volatility and stochastic interestrates and a...

Persistent link: https://www.econbiz.de/10012855761

The market price of risk for delivery periods : pricing swaps and options in electricity markets

Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...

Persistent link: https://www.econbiz.de/10012216375

An Orthogonal Series Expansions Method to Hedge and Price European-Type Options

Chan, Ron - 2017

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial series -- complex Fourier series. We assume that risky assets are driven by exponential Lévy processes and stochastic volatility models. We provide a succinct error analysis to...

Persistent link: https://www.econbiz.de/10012967806

Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 5 (2017) 1, pp. 1-25

). The purpose is to by-pass the derivative of an (irregular) pay-off function in a jump-type market by introducing a weight … formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging …

Persistent link: https://www.econbiz.de/10011886622

Multiscale stochastic volatility model for derivatives on futures

Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31

Persistent link: https://www.econbiz.de/10010498865