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Pricing of Derivatives on Commodity Indices
Rauch, Johannes - 2014
This paper introduces a novel method for pricing commodity index derivatives consistently with market prices of derivatives on single commodities. We discuss the Black, mean-reversion and local volatility pricing models with special attention paid to the parameterization of volatility surfaces....
Persistent link: https://www.econbiz.de/10013065589
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Commodity Derivatives : Forward and Futures Contracts
Negrini de Mattos, Alexandre José; Correa, Arnaldo Luiz - 2023
The article aims to provide an overview of the derivatives market, with a focus on forward and futures contracts. In addition to general concepts, the study explores practical concepts such as daily settlement, margin requirements, basis, and price formation, with current examples from the...
Persistent link: https://www.econbiz.de/10014344304
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Hedging long-dated oil futures and options using short-dated securities : revisiting Metallgesellschaft
Doran, James S.; Ronn, Ehud I. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10
Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …
Persistent link: https://www.econbiz.de/10012626875
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Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities — Revisiting Metallgesellschaft
Doran, James; Ronn, Ehud I. - 2021
Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned …
Persistent link: https://www.econbiz.de/10013239889
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Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market
Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - In: Borsa Istanbul Review 22 (2022) 1, pp. 92-102
The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of … capture changes in the hedging effectiveness of the contracts. We find that the diagonal VECH and constant models produce … almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures …
Persistent link: https://www.econbiz.de/10012818026
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Are commodity futures a hedge against inflation? A Markov-switching approach
Liu, Chunbo; Zhang, Xuan; Zhou, Zhiping - 2021
This study examines the inflation-hedging ability of commodity futures. Applying a Markov-switching vector error … metals exhibit significant inflation-hedging properties. Other subindexes, including energy, precious metals, agriculture and … livestock, do not have significant inflation hedging ability. The hedging capacity of industrial metal futures exhibits …
Persistent link: https://www.econbiz.de/10013223812
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Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Christoffersen, Peter - 2020
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 to investigate the economic importance of jumps and...
Persistent link: https://www.econbiz.de/10012850215
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Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - 2016
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 to investigate the economic importance of jumps and...
Persistent link: https://www.econbiz.de/10011646275
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Commodity Option Implied Volatilities and the Expected Futures Returns
Gao, Lin - 2019
associated with hedging pressure on the futures and especially on the options market. News media also helps amplify the …
Persistent link: https://www.econbiz.de/10014122276
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Analogy Based Valuation of Commodity Options
Siddiqi, Hammad - 2015
Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew, the smile, and the forward skew. I put forward an economic explanation for all three types of implied volatility smiles based on the idea that a commodity call option is valued in analogy with...
Persistent link: https://www.econbiz.de/10013031127