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Energy Derivatives Pricing
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial Mathematics)
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial Mathematics)
2011 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Abstract [en]

In this paper we examine energy derivatives pricing. The previous studies considered the same source of uncertainty for the spot and the futures prices. We investigate the problem of futures pricing with two independent sources of risk. In general the structure of the oil and gas futures markets is closely related to some stock indices. Therefore, we develop a model for the futures market and compound derivatives with pricing in accordance with the correspondent index. We derive a framework for energy derivatives pricing, compute the price of the European call option on futures and corresponding hedging strategy. We calculate the price of the European call option adjusted for an index level, study the American put option on futures and corresponding hedging strategies.

sted, utgiver, år, opplag, sider
2011. , s. 58
Emneord [en]
Financial Mathematics, Option, Energy derivative pricing
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-16174Lokal ID: IDE1131OAI: oai:DiVA.org:hh-16174DiVA, id: diva2:439231
Fag / kurs
Financial Mathematics
Presentation
2011-05-30, Wigforshallen, Halmstad University, Halmstad, 12:00 (engelsk)
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2011-09-07 Laget: 2011-09-07 Sist oppdatert: 2011-09-08bibliografisk kontrollert

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Prostakova,Tazov-EnergyDerivativesPricing(809 kB)720 nedlastinger
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