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Hedging Swing contract on gas markets


  • Xavier Warin


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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  • Xavier Warin, 2012. "Hedging Swing contract on gas markets," Papers 1208.5303,
  • Handle: RePEc:arx:papers:1208.5303

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    References listed on IDEAS

    1. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599,
    2. 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.
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    Cited by:

    1. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.

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