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Pinning in the S&P 500 futures
Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585
options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …
Persistent link: https://www.econbiz.de/10010587978
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Limits to arbitrage and hedging: Evidence from commodity markets
Acharya, Viral V.; Lochstoer, Lars A.; Ramadorai, Tarun - In: Journal of Financial Economics 109 (2013) 2, pp. 441-465
We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers' hedging demand or speculators' capital constraints increase hedging costs via price-pressure on futures....
Persistent link: https://www.econbiz.de/10010678703
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A model for hedging load and price risk in the Texas electricity market
Coulon, Michael; Powell, Warren B.; Sircar, Ronnie - In: Energy Economics 40 (2013) C, pp. 976-988
forwards and some options, products often used for hedging purposes. Making use of these results, we illustrate in a simple …
Persistent link: https://www.econbiz.de/10010718752
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Humps in the volatility structure of the crude oil futures market: New evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy Economics 40 (2013) C, pp. 989-1000
-analytical prices for options on commodity futures. Using an extensive database of crude oil futures and futures options spanning 21 …
Persistent link: https://www.econbiz.de/10010718761
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A utility based approach to energy hedging
Cotter, John; Hanly, Jim - In: Energy Economics 34 (2012) 3, pp. 817-827
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses...
Persistent link: https://www.econbiz.de/10010571697
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The (de)merits of minimum-variance hedging: Application to the crack spread
Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy Economics 36 (2013) C, pp. 698-707
We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric models for estimating hedge ratios of crude oil, gasoline and heating oil crack spreads. Given the great variability and large jumps in both spot and futures prices, considerable...
Persistent link: https://www.econbiz.de/10011039586