{"title":"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","authors":"Claudio RISSO, Juan Piccini, Bernardo Zimberg","doi":"10.3934/jdg.2023015","DOIUrl":null,"url":null,"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.","PeriodicalId":42722,"journal":{"name":"Journal of Dynamics and Games","volume":"21 1","pages":"0"},"PeriodicalIF":1.1000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Appraising the convenience of a call-based dynamical hedging strategy for an oil-company\",\"authors\":\"Claudio RISSO, Juan Piccini, Bernardo Zimberg\",\"doi\":\"10.3934/jdg.2023015\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":42722,\"journal\":{\"name\":\"Journal of Dynamics and Games\",\"volume\":\"21 1\",\"pages\":\"0\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Dynamics and Games\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3934/jdg.2023015\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Dynamics and Games","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3934/jdg.2023015","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
Appraising the convenience of a call-based dynamical hedging strategy for an oil-company
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.
期刊介绍:
The Journal of Dynamics and Games (JDG) is a pure and applied mathematical journal that publishes high quality peer-review and expository papers in all research areas of expertise of its editors. The main focus of JDG is in the interface of Dynamical Systems and Game Theory.