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題名 Pricing and Hedging European Energy Derivatives: A Case Study of WTI 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 2014.01
上傳時間 27-Oct-2014 10:42:47 (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 Finance52, 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,43(3),317-355
資料類型 article
DOI http://dx.doi.org/10.1111/ajfs.12050
dc.contributor 金融系en_US
dc.creator (作者) 林士貴zh_TW
dc.creator (作者) Hsu,Chih-Chen ;Lin,Shih-Kuei ;Chen,Ting-Fuen_US
dc.date (日期) 2014.01en_US
dc.date.accessioned 27-Oct-2014 10:42:47 (UTC+8)-
dc.date.available 27-Oct-2014 10:42:47 (UTC+8)-
dc.date.issued (上傳時間) 27-Oct-2014 10:42:47 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/70794-
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 Finance52, 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.en_US
dc.format.extent 126 bytes-
dc.format.mimetype text/html-
dc.language.iso en_US-
dc.relation (關聯) Asia-Pacific Journal of Financial Studies,43(3),317-355en_US
dc.subject (關鍵詞) Mean-reversion;Jump-diffusion;Seasonality;Systematic biasesen_US
dc.title (題名) Pricing and Hedging European Energy Derivatives: A Case Study of WTI Oil Optionsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1111/ajfs.12050en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1111/ajfs.12050en_US