Analyzing the dynamics of the refining margin: implications for valuation and hedging

DOI10.1080/14697688.2012.708430zbMath1280.91200OpenAlexW2012612363MaRDI QIDQ5745647

Andrés García Mirantes, Gregorio Serna, Javier Población

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.708430

zbMATH Keywords

commodity pricesenergy derivativesenergy marketscommodity markets

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Commodity derivative valuation under a factor model with time-varying market prices of risk

Cites Work

• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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