Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …

hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on … with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper …Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned …

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial … to price in/at/out-of-the-money options or options with complicated contingent claims …

The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire … spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2 …

shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in …In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential … to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis …

with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper …Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … identifies a model-free non-parametric approach to extrapolating futures prices and implied volatilities. When we expand the …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum … want to hedge the payoff of this option by investing into an electricity futures and into the issued option itself. Another …