Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/127918
DC Field | Value | Language |
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dc.contributor | 金融系 | |
dc.creator | 林士貴 | |
dc.creator | Hsu*, Chih-Chen; | |
dc.creator | Lin, Shih-Kuei | |
dc.creator | Chen, Ting-Fu | |
dc.date | 2014-06 | |
dc.date.accessioned | 2019-12-19T06:38:47Z | - |
dc.date.available | 2019-12-19T06:38:47Z | - |
dc.date.issued | 2019-12-19T06:38:47Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/127918 | - |
dc.description.abstract | This study extends the mean-reversion dynamic framework of (Pilipovic, Energy risk: Valuing and managing energy derivatives, 1997) and (Schwartz, The stochastic behavior of commodity prices: Implications for pricing and hedging, Journal of Finance 52, 1997, 923) and focuses on developing a variety of continuous-time commodity-pricing and hedging models by analyzing the pricing and hedging errors found in an empirical investigation of options contracts on light sweet crude oil traded on the New York Mercantile Exchange. Thus, this study contributes to furthering the applicability of the models developed. The inclusion of the benchmark Black-Scholes pricing model generates systematic biases that are consistent with (Bakshi, Cao and Chen, Handbook of Quantitative Finance and Risk Management, 2010). The mean-reversion jump-diffusion and seasonality option-pricing model best describes the extreme price volatility experienced during a financial collapse, but the mean-reversion and seasonality option-pricing model offers the best pricing and hedging capability for other periods. The performances of hedging models are generally consistent with pricing errors. | |
dc.format.extent | 893984 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Asia-Pacific Journal of Financial Studies, Vol.43, No.3, pp.317–355 | |
dc.subject | Mean-reversion ; Jump-diffusion ; Seasonality ; Systematic biases | |
dc.title | Pricing and Hedging European Energy Derivatives:A Case Study of WTI Crude Oil Options | |
dc.type | article | |
dc.identifier.doi | 10.1111/ajfs.12050 | |
dc.doi.uri | https://doi.org/10.1111/ajfs.12050 | |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
item.openairetype | article | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | restricted | - |
Appears in Collections: | 期刊論文 |
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