Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
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DOI: 10.1016/j.eneco.2012.12.004
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References listed on IDEAS
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Citations
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Cited by:
- Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2016. "Numerical Analysis On Local Risk-Minimization For Exponential Lévy Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-27, March.
- Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2015. "Numerical analysis on local risk-minimization forexponential L\'evy models," Papers 1506.03898, arXiv.org.
More about this item
Keywords
Quadratic hedging; Jump-diffusion models; Natural gas options; Energy derivatives; Resource economics;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
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