Affiliation:
1. Faculty of Management, AGH University of Krakow, 30-059 Kraków, Poland
Abstract
The high volatility of commodity prices and various problems that the energy sector has to deal with in the era of COVID-19 have significantly increased the risk of oil price changes. These changes are of the main concern of companies for which oil is the main input in the production process, and therefore oil price determines the production costs. The main goal of this paper is to discover decision rules for a buyer of American WTI (West Texas Intermediate) crude oil call options. The presented research uses factors characterizing the option price, such as implied volatility and option sensitivity factors (delta, gamma, vega, and theta, known as “Greeks”). The performed analysis covers the years 2008–2022 and options with an exercise period up to three months. The decision rules are discovered using association analysis and are evaluated in terms of the three investment efficiency indicators: total payoff, average payoff, and return on investment. The results show the existence of certain ranges of the analyzed parameters for which the mentioned efficiency indicators reached particularly high values. The relationships discovered and recorded in the form of decision rules can be effectively used or adapted by practitioners to support their decisions in oil price risk management.
Subject
Energy (miscellaneous),Energy Engineering and Power Technology,Renewable Energy, Sustainability and the Environment,Electrical and Electronic Engineering,Control and Optimization,Engineering (miscellaneous),Building and Construction
Reference40 articles.
1. Qin, M., Zhang, Y.C., and Su, C.W. (2020). The Essential Role of Pandemics: A Fresh Insight Into the Oil Market. Energy Res. Lett., 1.
2. Gil-Alana, L.A., and Monge, M. (2020). Crude Oil Prices and COVID-19: Persistence of the Shock. Energy Res. Lett., 1.
3. Economic Uncertainty Before and During the Covid-19 Pandemic;Altig;SSRN Electron. J.,2020
4. Constructing a Global Fear Index for the COVID-19 Pandemic;Salisu;Emerg. Mark. Financ. Trade,2020
5. The risk transmission of COVID-19 in the US stock market;Baek;Appl. Econ.,2021
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献