Hedging Swing contract on gas markets
AbstractSwing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too. The option holder has to decide each day how much he consumes of the quantities satisfying the constraints and tries to use a strategy in order to maximize its expected profit. The pay off fonction is a spread between the spot gas market and the value of an index composed of the past average of some commodities spot or future prices. We study the valorization and the effectiveness of the dynamic hedging of such a contract.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1208.5303.
Date of creation: Aug 2012
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- Marie Bernhart & Peter Tankov & Xavier Warin, 2010.
"A finite dimensional approximation for pricing moving average options,"
- Bernhart, Marie & Tankov, Peter & Warin, Xavier, 2011. "A Finite-Dimensional Approximation for Pricing Moving Average Options," Economics Papers from University Paris Dauphine 123456789/11984, Paris Dauphine University.
- Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599, arXiv.org.
- Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
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