政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/70794

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113303/144284 (79%)
造訪人次 : 50835142 線上人數 : 946

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/70794

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/70794

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:	2014-10-27 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 連結:	http://dx.doi.org/10.1111/ajfs.12050
DOI:	10.1111/ajfs.12050
顯示於類別:	[金融學系] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML2	1484	檢視/開啟
404632.pdf		873Kb	Adobe PDF2	746	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

資料載入中.....