Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities — Revisiting Metallgesellschaft
Year of publication: |
[2021]
|
---|---|
Authors: | Doran, James ; Ronn, Ehud I. |
Publisher: |
[S.l.] : SSRN |
Subject: | Hedging | Theorie | Theory | Rohstoffderivat | Commodity derivative | Derivat | Derivative | Erdöl | Petroleum | Optionsgeschäft | Option trading | Warenbörse | Commodity exchange |
Extent: | 1 Online-Ressource (18 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 25, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3773257 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Doran, James S., (2021)
-
Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Christoffersen, Peter, (2020)
-
Trading and Information in Futures Markets
Llorente, Guillermo, (2019)
- More ...
-
A Simple Model for Time - Varying Expected Returns on the S&P 500 Index
Doran, James, (2009)
-
A Simple Model for Time-Varying Expected Returns on the S&P 500 Index
Doran, James, (2009)
-
The Bias in Black-Scholes/Black Implied Volatility : An Analysis of Equity and Energy Markets
Doran, James, (2014)
- More ...