Arbeitspapier
Pricing and hedging of oil futures: A unifying approach
We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of sufficient inventories for oil futures pricing and for the explanation of backwardation and contango situations. In an empirical study the hedging performance of our model is compared with five other one- and two-factor pricing models. The hedging problem considered is related to Metallgesellschaft's strategy to hedge long-term forward commitments with short-term futures. The results show that the downside risk distribution of our inventory based model stochastically dominates those of the other models.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tübinger Diskussionsbeiträge ; No. 190
- Klassifikation
-
Wirtschaft
- Thema
-
oil futures
Ölpreis
Rohstoff-Futures
Optionspreistheorie
Hedging
Strategie
Schätzung
Theorie
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bühler, Wolfgang
Korn, Olaf
Schöbel, Rainer
- Ereignis
-
Veröffentlichung
- (wer)
-
Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Tübingen
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:21-opus-20612
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bühler, Wolfgang
- Korn, Olaf
- Schöbel, Rainer
- Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2000
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