dc.contributor.author | Bjørnstad, Sunniva Landmark | |
dc.date.accessioned | 2013-10-24T07:33:11Z | |
dc.date.available | 2013-10-24T07:33:11Z | |
dc.date.issued | 2013 | |
dc.identifier.uri | http://hdl.handle.net/11250/182199 | |
dc.description | Master's thesis in Industrial Economics | no_NO |
dc.description.abstract | This thesis investigates the price spread between futures on Brent oil
from the Intercontinental Exchange and West Texas Intermediate oil from
the New York Mercantile Exchange. Historical futures data is calibrated
to a multi-factor forward curve model based on Clewlow and Strickland
(2000), and the model is fitted, based on Sollie (2013)'s approach, to al-
low for non-constant volatility. An asymmetric generalized autoregressive
heteroskedastic model based on Nelson (1991), and principal component
analysis is performed to find key common factors explaining the forward
curve dynamics. The model is used to draw realisations of the forward
curves for Brent and West Texas Intermediate (WTI) crude oils, and
three selected realisations are further analysed. Sensitivity analysis is
performed on the expected prices at Day 1, and options are priced on the
Brent/WTI futures spread with Monte Carlo Simulations. Each realisa-
tion is risk managed with delta hedging, attempting to offset movements
in the option prices during their lifetime. The delta hedge is rebalanced
one time per day for each contract, which this analysis will find is not
suffi cient in all cases to capture the extreme volatility in the movement of
the underlying assets. | no_NO |
dc.language.iso | eng | no_NO |
dc.publisher | University of Stavanger, Norway | no_NO |
dc.relation.ispartofseries | Masteroppgave/UIS-TN-IØRP/2013; | |
dc.subject | industriell økonomi | no_NO |
dc.subject | oil futures markets | no_NO |
dc.subject | spread options | no_NO |
dc.subject | Monte Carlo simulations | no_NO |
dc.subject | risikostyring | |
dc.title | Pricing and risk management of spread options on Brent and West Texas Intermediate oil futures markets | no_NO |
dc.type | Master thesis | no_NO |
dc.subject.nsi | VDP::Technology: 500 | no_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210 | no_NO |