Leoni, Edoardo (A.A. 2024/2025) Hedging crude oil exposure: a comparative study of options on spot and options on futures. Tesi di Laurea in Computational tools for finance, Luiss Guido Carli, relatore Valerio Marchisio, pp. 95. [Master's Degree Thesis]

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Abstract/Index

Options on commodity futures and on spot commodities: differences and pricing models for crude oil derivatives. Introduction to options, futures and commodity products. Pricing models: options and options on futures. Hedging strategies for commodities. Option price simulation for crude oil: options and options on futures. Historical data and dataset description. Crude oil market analysis 2018-2024. Simulation of commodity and futures option prices. Hedging strategies: a comparison analysis between spot options and future options. Hedging strategy using spot options. Hedging strategy using future options. Comparative analysis.

References

Bibliografia: pp. 94-95.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Computational tools for finance
Thesis Supervisor:	Marchisio, Valerio
Thesis Co-Supervisor:	Santucci de Magistris, Paolo
Academic Year:	2024/2025
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	23 Sep 2025 13:20
Last Modified:	23 Sep 2025 13:20
URI:	https://tesi.luiss.it/id/eprint/43268

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