Financial Modelling In Commodity Markets 1st Edition Viviana Fanelli - Solutions

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When commodity spot return distribution exhibits excess kurtosis and nonzero skewness, the model used for spot prices is:(a) Jump-diffusion model;(b) Mean-reverting model;(c) Geometric Brownian motion;(d) Brownian motion.
Which of the following statements is true:(a) Many commodity markets contain a strong seasonal component either at the price level, or in volatility.(b) In commodity markets the seasonal component is always contained in volatility.(c) In commodity markets the seasonal component is always contained
What is the halftime of a mean-reverting process?(a) It is the time taken for the price to revert to zero.(b) It is the time taken for the price to revert half way to its long-term level from zero.(c) It is the time taken for the price to revert half way to zero from its current level.(d) It is the
In the two factor model of Schwartz [60] as the time to maturity approaches large values, the volatility of futures converges to:(a) zero.(b) infinity.(c) a fixed value depending on model paramenters.(d) the spot volatility.
Which of the following statements are true?Statement I Under the true distribution the forward price and the expected spot price differ only on the risk premium.Statement II The forward price can be obtained through spot price models.(a) Only Statement I;(b) Only Statement II;(c) Both;(d) Neither.
In the Schwartz and Smith [59] model the forward curve at any time in the risk-neutral world depends on:(a) The short-term deviation in prices and the equilibrium price level;(b) The short-term deviation in prices and the convenience yield;(c) The short-term deviation in prices and the risk
The Schwartz and Smith [59] model is calibrated by using:(a) The call option prices;(b) The spot prices;(c) The swap prices;(d) The futures prices.
What are the two components of the futures volatility function in Fanelli et al.[32] model?(a) A seasonal component and a path-dependent component;(b) A short-term component and a path-dependent component;(c) A seasonal component and a short-term component;(d) A constant component and a
Assume that the actual underlying price is $25, its volatility is 30% and drift equal to 4%. Furthermore, the annual risk-free interest rate in the market is 3%. Price a European call option with maturity 6 months and strike price $25 according to the Black and Scholes model.
Apply the put-call parity relationship to obtain the European put price corresponding to the call price of Exercise 1.
Consider an underlying commodity with spot price $45 and expected return of 6%. Use the Excel Solver to find the implied volatility of an European call option with maturity one year and strike price $50.
Consider two trading dates t = 0;1 and a commodity with price at time 0 equal to $50. Given the interest rate is 3%, the strike price is $50 and u=1:1 and d =0:97, determine the European call and put option prices through the binomial model.
Consider three trading dates t = 0;1;2 and a commodity with price at time 0 equal to $45. Given the interest rate is 3%, the strike price is $50 and u = 1:1 and d = 0:97, determine the European call option price through the binomial model.
Consider three trading dates t = 0;1;2 and a commodity with price at time 0 equal to $50. Given the interest rate is 3%, the strike price is $50 and u = 1:1 and d = 0:97, determine the American call and put option prices through the binomial model.
Consider a European call option with maturity 6 months and an underlying commodity with price at time 0 equal to $45 and volatility 20%. Given the interest rate is 3%, the strike price is $50 and u = 1:1 and d = 0:97, determine the European call option price through the binomial model by
Consider a European call option with maturity 6 months and an underlying commodity with price at time 0 equal to $100, volatility 30% and expected return 5%. Given the interest rate is 3%, the strike price is $90. Determine the European call option price through the Monte Carlo simulation by
On January 15, the refiner X estimates it will need to purchase 10,000 barrels of crude oil on May 20.X decides to hedge price risk using a June NYMEX futures contracts. On January 15, the June futures price is USD 70.00/bbl.On May 20, the crude spot price is USD 73.10/bbl and the futures price is
The spot price of gasoline is USD 0.60/gal. The cost of financing for the purchase of the contract is USD 0.20/gal per month; the cost of storage for the physical commodity is USD 0.15/gal per month. The price for a 1-month gasoline futures contract is USD 0.73/gal. In this scenario, what would be
On June 15, the spot price of crude oil is USD 97.The monthly storage cost id USD 0.60/bbl, and the annual risk-free interest rate is 2%. If the crude oil can be stored for six months but cannot be sold out of storage before the sixmonth storage term ends, what breakeven forward price per barrel
Tom holds the following two option contracts on Brent futures: Short one put option with strike price of USD 100.00; Long one call option with strike price of USD 105.00.If the options have the same maturity and the current Brent spot price is USD 103.50, what is the value of the combined
Clark buys a monthly 100 MW on-peak power call option for a month that has 20 business days4. The strike price is USD 70/MWh and the premium is USD 5/MWh. Clark exercises the call option in a month when the average on-peak price is USD 80/MWh. What is the gross settlement amount for Clark?a. USD
Which of the following statements currently explains a key characteristic of a bear spread option structure?a. The structure is created by a short call with strike price K2 and a long call with strike price K1, where K2 > K1.b. The maximum profit occurs when the underlying price equals the strike
Bird Airways would use commodity swaps to protect against rising jet fuel prices. Which of the following statement(s) about the use of commodity swaps is/are correct?(a) Bird Airways will sell a commodity swap to hedge the risk of rising jet fuel prices.(b) Bird Airways will have counterparty

Financial Modelling In Commodity Markets 1st Edition Viviana Fanelli - Solutions

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