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A new approach to evaluating the cost-efficiency of complex hedging strategies : an application to electricity price-volume quanto contracts

Kang, Sang Baum; Ong, Michael K.; Zhao, Jialin - In: The journal of energy markets 12 (2019) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10012140191

An analytic hedging model of energy quanto contracts

Kang, Sang Baum; Zhao, Jialin - In: Theoretical economics letters 7 (2017) 4, pp. 737-746

Persistent link: https://www.econbiz.de/10011706614

Promoting financial stability of oil producers : operational vs. financial hedging

Fang, Yiwei; Kang, Sang Baum; Lu, You - In: Journal of financial stability 67 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014455479

The Incremental Expected Shortfall-Based Pricing : Application to a Cost-Effective Hedge of an Electricity Price-Volume Quanto Risk

Kang, Sang Baum - 2016

To evaluate complex hedging deals from a cost-efficiency perspective, this paper proposes a new hedging-effectiveness measure, the Economic Value of the Incremental Expected Shortfall (EV-IES), which summarizes the costs and benefits of a hedging strategy by taking into account firm-specific and...

Persistent link: https://www.econbiz.de/10012996893