In this paper a pricing formula is derived for futures options in Schwartz 1997 two factor model with time dependent spot volatility. The pricing formula can be used like the Black-Scholes formula with observed volatility directly. Also, it can be used to find backwards the results of time...

We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging strategies are derived under the assumption that the dynamics of crude-oil futures are described by a Merton-type jump-diffusion. These are then tested empirically using...

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...

We study forwards and European call options, which are written on a non-storable renewable resource. Examples of such derivatives in form of futures on fresh catch of wild salmon for the US and the recently created Fish Pool market in Norway, where futures on a composite of wild catch and farmed...