Hedging crude oil exposure: a comparative study of options on spot and options on futures
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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