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 …

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 …

A new measure of hedging pressure in commodity options markets—commercial hedgers’ net short option exposure … values of option hedging pressure are greater. This pattern is consistent with commercial traders’ natural hedging motives. A … consideration of margin requirements. Overall, our results confirm the existence of hedging premiums, demand effects, and limits to …

-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We derived the … for VIX options. …

corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging …

The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez …-product approximation for realistic prices can be used to analyze in depth European options on the SP500. The cross-product approximation is … comparison shows that the cost of hedging and the replication risk premium have contributions to the implied volatility smile …

This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock … pinning on expiration days. To the best of our knowledge, this is a first such study done on the Indian market. …