Pricing and hedging european energy derivatives: A case study of wti oil options

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/109270

Title:	Pricing and hedging european energy derivatives: A case study of wti oil options
Authors:	陳亭甫;Hsu, Chih-Chen;Lin, Shih-Kuei;Chen, Ting-Fu
Contributors:	理學院數學系
Keywords:	Commodity prices;Crude oil;Hedging;Jump-diffusion;Mean-reversion;Seasonality;Securities prices;Stochastic models;Studies;Systematic biases;Volatility;경영학
Date:	2014-01-01
Issue Date:	2026-04-23 16:20:12 (UTC+8)
Publisher:	John Wiley and Sons Ltd;Richmond: Blackwell Publishing Ltd
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. 其他題名： Asia Pac J Financ Stud 出版者： Richmond: Blackwell Publishing Ltd 出版日期： 2014-06 出處： Asia-Pacific Journal of Financial Studies, 2014, 43(3), , pp.317-355 版權： 2014 Korean Securities Association 版權： Copyright Wiley Periodicals Inc. Jun 2014 識別號： ISSN: 2041-9945 識別號： EISSN: 2041-6156 識別號： DOI: 10.1111/ajfs.12050
Appears in Collections:	[Department of Mathematics] journal & Dissertation

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