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題名 Pricing and Hedging European Energy Derivatives:A Case Study of WTI Crude Oil Options
作者 林士貴
Hsu*, Chih-Chen;
Lin, Shih-Kuei
Chen, Ting-Fu
貢獻者 金融系
關鍵詞 Mean-reversion ; Jump-diffusion ; Seasonality ; Systematic biases
日期 2014-06
上傳時間 19-Dec-2019 14:38:47 (UTC+8)
摘要 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.
關聯 Asia-Pacific Journal of Financial Studies, Vol.43, No.3, pp.317–355
資料類型 article
DOI https://doi.org/10.1111/ajfs.12050
dc.contributor 金融系
dc.creator (作者) 林士貴
dc.creator (作者) Hsu*, Chih-Chen;
dc.creator (作者) Lin, Shih-Kuei
dc.creator (作者) Chen, Ting-Fu
dc.date (日期) 2014-06
dc.date.accessioned 19-Dec-2019 14:38:47 (UTC+8)-
dc.date.available 19-Dec-2019 14:38:47 (UTC+8)-
dc.date.issued (上傳時間) 19-Dec-2019 14:38:47 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/127918-
dc.description.abstract (摘要) 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 (關聯) Asia-Pacific Journal of Financial Studies, Vol.43, No.3, pp.317–355
dc.subject (關鍵詞) Mean-reversion ; Jump-diffusion ; Seasonality ; Systematic biases
dc.title (題名) Pricing and Hedging European Energy Derivatives:A Case Study of WTI Crude Oil Options
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1111/ajfs.12050
dc.doi.uri (DOI) https://doi.org/10.1111/ajfs.12050