Artikel
Hedging long-dated oil futures and options using short-dated securities: Revisiting Metallgesellschaft
Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper identifies a model-free non-parametric approach to extrapolating futures prices and implied volatilities. When we expand the analysis to implementing hedge portfolios for long-dated futures or option contracts over the time period 2007-2017, we utilize the useful benchmark of hedge ratios arising from Schwartz and Smith. With respect to the empirical consequences of hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on average, quite close to zero, but there is increasing risk entailed in attempting to do so, as the hedge-tracking errors for both futures and option contracts increase with time-to-maturity.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 8 ; Pages: 1-10 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
hedging
long-dated
oil futures
option contracts
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Doran, James S.
Ronn, Ehud I.
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
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2021
- DOI
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doi:10.3390/jrfm14080379
- Handle
- Letzte Aktualisierung
-
11.03.2025, 17:53 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Doran, James S.
- Ronn, Ehud I.
- MDPI
Entstanden
- 2021
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