Hedging Swing contract on gas markets
Swing 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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- Marie Bernhart & Peter Tankov & Xavier Warin, 2010.
"A finite dimensional approximation for pricing moving average options,"
- Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Working Papers hal-00554216, HAL.
- 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 923-973, July. Full references (including those not matched with items on IDEAS)
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