Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index
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- Elisa Scarpa & Matteo Manera, 2008. "Pricing and hedging illiquid energy derivatives: An application to the JCC index," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(5), pages 464-487, May.
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KeywordsHedging Models; Cross-Hedging; Energy Derivatives; Illiquid Financial Products; Commodity Markets; JCC Price Index;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-25 (All new papers)
- NEP-ENE-2006-11-25 (Energy Economics)
- NEP-SEA-2006-11-25 (South East Asia)
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