کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090654 | 1375641 | 2008 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long term spread option valuation and hedging
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper investigates the valuation and hedging of spread options on two commodity prices which in the long run are in dynamic equilibrium (i.e., cointegrated). The spread exhibits properties different from its two underlying commodity prices and should therefore be modelled directly. This approach offers significant advantages relative to the traditional two price methods since the correlation between two asset returns is notoriously hard to model. In this paper, we propose a two factor model for the spot spread and develop pricing and hedging formulae for options on spot and futures spreads. Two examples of spreads in energy markets - the crack spread between heating oil and WTI crude oil and the location spread between Brent blend and WTI crude oil - are analyzed to illustrate the results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 12, December 2008, Pages 2530-2540
Journal: Journal of Banking & Finance - Volume 32, Issue 12, December 2008, Pages 2530-2540
نویسندگان
M.A.H. Dempster, Elena Medova, Ke Tang,