The valuation and information content of options on crude-oil futures contracts
| LEADER | caa a22 4500 | ||
|---|---|---|---|
| 001 | 605451141 | ||
| 003 | CHVBK | ||
| 005 | 20210128100150.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 210128e20150701xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s11147-014-9107-y |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11147-014-9107-y | ||
| 245 | 0 | 4 | |a The valuation and information content of options on crude-oil futures contracts |h [Elektronische Daten] |c [Finbarr Murphy, Ehud Ronn] |
| 520 | 3 | |a Using market prices for crude-oil futures options and the prices of their underlying futures contracts, we calibrate the volatility skew using the Merton (J Financ Econ 3:125-144, 1976) jump-diffusion option-pricing model. We demonstrate the jump-diffusion parameters bear a close relationship to concurrent economic, financial and geopolitical events. With each option's implied-vol used to compute a Black-Scholes hedge ratio, the Merton model is contrasted to that Black-Scholes counterpart. The postulated Merton-style model is shown to yield useful parameters from which market prices can be computed, option prices can be marked-to-market and (imperfectly) hedged, as well as an informationally-rich structure covering the time period of the turbulent post-2007 time period. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Crude-oil futures and options |2 nationallicence | |
| 690 | 7 | |a Informational content of derivative securities |2 nationallicence | |
| 700 | 1 | |a Murphy |D Finbarr |u Department of Accounting and Finance, University of Limerick, Limerick, Ireland |4 aut | |
| 700 | 1 | |a Ronn |D Ehud |u Department of Finance, McCombs School of Business, University of Texas at Austin, 2100 Speedway Stop B6600, 78712-1276, Austin, TX, USA |4 aut | |
| 773 | 0 | |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/2(2015-07-01), 95-106 |x 1380-6645 |q 18:2<95 |1 2015 |2 18 |o 11147 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11147-014-9107-y |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11147-014-9107-y |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Murphy |D Finbarr |u Department of Accounting and Finance, University of Limerick, Limerick, Ireland |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Ronn |D Ehud |u Department of Finance, McCombs School of Business, University of Texas at Austin, 2100 Speedway Stop B6600, 78712-1276, Austin, TX, USA |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/2(2015-07-01), 95-106 |x 1380-6645 |q 18:2<95 |1 2015 |2 18 |o 11147 | ||