Pricing and hedging european energy derivatives: A case study of wti oil options

Keyphrases

• Hedging 100%
• Energy Derivatives 100%
• Option Pricing Model 66%
• Pricing Errors 66%
• Pricing Model 66%
• Mean Reversion 66%
• Hedging Model 66%
• Risk Management 33%
• New York 33%
• Continuous-time 33%
• Finance Journals 33%
• Stochastic Behavior 33%
• Option Contract 33%
• Black-Scholes 33%
• Systematic Bias 33%
• Schwartz 33%
• Price Volatility 33%
• Crude Oil 33%
• Sweet 33%
• Hedging Error 33%
• Energy Risk 33%
• Quantitative Risk 33%
• Commodity Pricing 33%
• Price Extremes 33%
• Mean Reversion Jump Diffusion 33%
• Quantitative Finance 33%
• Mercantile Exchange 33%
• Financial Crashes 33%
• Commodity Prices 33%
• Finance Management 33%

Economics, Econometrics and Finance

• Pricing 100%
• Hedging 100%
• Mean Reversion 42%
• Finance 28%
• Risk Management 14%
• Continuous Time 14%
• Option Contract 14%
• Price Volatility 14%
• Price 14%