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

DOI10.1080/14697688.2012.708430MaRDI QIDQ5745647zbMATH OpenOpenAlexFDO

Authors Andrés García Mirantes, Javier Población, Gregorio Serna

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 marketscommodity pricesenergy derivativesenergy markets

Mathematics Subject Classification ID

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

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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

Cited in

(1)

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

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