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Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/127918

Title:	Pricing and Hedging European Energy Derivatives:A Case Study of WTI Crude Oil Options
Authors:	林士貴 Hsu*, Chih-Chen Lin, Shih-Kuei Chen, Ting-Fu
Contributors:	金融系
Keywords:	Mean-reversion;Jump-diffusion;Seasonality;Systematic biases
Date:	2014-06
Issue Date:	2019-12-19 14:38:47 (UTC+8)
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.
Relation:	Asia-Pacific Journal of Financial Studies, Vol.43, No.3, pp.317–355
Data Type:	article
DOI 連結:	https://doi.org/10.1111/ajfs.12050
DOI:	10.1111/ajfs.12050
Appears in Collections:	[金融學系] 期刊論文

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