منابع مشابه
Risk premia in crude oil futures prices
If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their positions. We show that this interaction can produce an affine factor structure to commodity futures prices,...
متن کاملUnit Root Properties of Crude Oil Spot and Futures Prices
In this paper we examine whether WTI and Brent crude oil spot and futures prices (at one, three and six months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991-2004. To realize this objective we employ Lagrange Multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Stazicich (2003, 2004). W...
متن کاملan application of equilibrium model for crude oil tanker ships insurance futures in iran
با توجه به تحریم های بین المملی علیه صنعت بیمه ایران امکان استفاده از بازارهای بین المملی بیمه ای برای نفتکش های ایرانی وجود ندارد. از طرفی از آنجایی که یکی از نوآوری های اخیر استفاده از بازارهای مالی به منظور ریسک های فاجعه آمیز می باشد. از اینرو در این پایان نامه سعی شده است با استفاده از این نوآوری ها با طراحی اوراق اختیارات راهی نو جهت بیمه گردن نفت کش های ایرانی ارائه نمود. از آنجایی که بر...
Do Oil Futures Prices Help Predict Future Oil Prices?
2004 and by more than 40% since the beginning of 2005.Though the U.S. economy has apparently absorbed this supply shock well so far, the path of future oil prices remains a concern for monetary policymakers. Higher oil prices can damp demand, as consumers and firms spend more of their budgets on oil-related products and less on other goods and services. Furthermore, if higher oil prices are pas...
متن کاملUnderstanding Risk Premia in Index Option Prices∗
We explore the reasons why out-of-the-money index puts trade on much higher implied volatilities than out-of-the-money calls. We develop a trading strategy that exploits the skew in implied volatility, and show that it has a simple interpretation. The pay-off to the strategy is identical to that on a swap whose floating leg is equal to the covariation between returns and changes in implied vari...
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2014
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2013.08.003