Energy Derivatives Pricing
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.
Financial Mathematics, Option, Energy derivative pricing
Computational Mathematics Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:hh:diva-16174Local ID: IDE1131OAI: oai:DiVA.org:hh-16174DiVA: diva2:439231
Subject / course
2011-05-30, Wigforshallen, Halmstad University, Halmstad, 12:00 (English)
UppsokPhysics, Chemistry, Mathematics
Nechaev, Mikhail, PhD
Bordag, Ljudmila A., Prof. Dr.