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Energy Derivatives Pricing
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2011. , 58 p.
Keyword [en]
Financial Mathematics, Option, Energy derivative pricing
National Category
Computational Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-16174Local ID: IDE1131OAI: oai:DiVA.org:hh-16174DiVA: diva2:439231
Subject / course
Financial Mathematics
Presentation
2011-05-30, Wigforshallen, Halmstad University, Halmstad, 12:00 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2011-09-07 Created: 2011-09-07 Last updated: 2011-09-08Bibliographically approved

Open Access in DiVA

Prostakova,Tazov-EnergyDerivativesPricing(809 kB)580 downloads
File information
File name FULLTEXT02.pdfFile size 809 kBChecksum SHA-512
967469ccdf2335d4abff25c0b215eefad3682499099fd23836060ed0a07af324a0aad0636e44540c0066274adcf8bd6725df8372255a07d84369d8a06d310c60
Type fulltextMimetype application/pdf

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Computational MathematicsProbability Theory and Statistics

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Total: 580 downloads
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Total: 282 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf