Appraising the convenience of a call-based dynamical hedging strategy for an oil-company

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-01-01 DOI:10.3934/jdg.2023015

Claudio RISSO, Juan Piccini, Bernardo Zimberg

引用次数: 0

Abstract

This paper presents a quantitative approach to hedging financial risks associated with changes in international oil prices for companies that import crude oil. The authors utilize the Geometric Brownian Motion model to capture the dynamic behavior of prices over time. To determine the optimal use of Call-options, the authors formulate a linear problem that minimizes the Conditional Value-at-Risk of the distribution of losses relative to the expected budget. The solution to this problem is obtained through a combination of Linear Programming optimization and Monte Carlo simulation. It enables the identification of the best Call-option offer that minimizes the risk of financial losses while staying within budget constraints. The validity of the proposed methodology is demonstrated through detailed examples that showcase its capabilities.

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评价石油公司基于看涨期权的动态套期保值策略的便利性

本文为进口原油的公司提供了一种定量的方法来对冲与国际石油价格变化相关的金融风险。作者利用几何布朗运动模型来捕捉价格随时间的动态行为。为了确定看涨期权的最佳使用，作者制定了一个线性问题，使相对于预期预算的损失分布的条件风险值最小化。通过线性规划优化和蒙特卡罗仿真相结合的方法，得到了该问题的求解方法。它能够识别最佳看涨期权报价，使财务损失风险最小化，同时保持在预算限制之内。通过详细的实例证明了所提出方法的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.