Crude Oil Hedging - An Application of Currency Translated Options to Canada's Oil
| atmire.migration.oldid | 452 | |
| dc.contributor.advisor | Ware, Antony Frank | |
| dc.contributor.author | Obour, Paul | |
| dc.date.accessioned | 2012-11-22T20:09:27Z | |
| dc.date.available | 2013-06-15T07:01:35Z | |
| dc.date.issued | 2012-11-22 | |
| dc.date.submitted | 2012 | en |
| dc.description.abstract | This study presents a review of pricing and hedging currency translated options. It is intended for Canadian Oil producers seeking to mitigate their production and F/X risks. Currency translated options are options based upon a foreign asset but with a payout that occurs in another currency. Different types of currency translated options are covered: Flexos, Compos or joint options and Quantos. A special emphasis is placed on the comparison between the first and the third versions of this product since the latter is the only version that completely eliminates the currency risk to the commodity/equity investor. Any oil producer or consumer can diversify its risks by transforming its complete dependence on spot oil prices into a variety of exposures to forward, futures, and options markets. In the light of these transformations, we analyze the efficiency of linearly delta hedging with Flexos and Quantos and further examine the hedging implications if any. | en_US |
| dc.identifier.citation | Obour, P. (2012). Crude Oil Hedging - An Application of Currency Translated Options to Canada's Oil (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/25494 | en_US |
| dc.identifier.doi | http://dx.doi.org/10.11575/PRISM/25494 | |
| dc.identifier.uri | http://hdl.handle.net/11023/323 | |
| dc.language.iso | eng | |
| dc.publisher.faculty | Graduate Studies | |
| dc.publisher.institution | University of Calgary | en |
| dc.publisher.place | Calgary | en |
| dc.rights | University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission. | |
| dc.subject | Mathematics | |
| dc.subject | Mathematics | |
| dc.subject.classification | Finance | en_US |
| dc.title | Crude Oil Hedging - An Application of Currency Translated Options to Canada's Oil | |
| dc.type | master thesis | |
| thesis.degree.discipline | Mathematics and Statistics | |
| thesis.degree.grantor | University of Calgary | |
| thesis.degree.name | Master of Science (MSc) | |
| ucalgary.item.requestcopy | true |