Αντιστάθμιση κινδύνου προϊόντων φυσικής παράδοσης μέσω συμβολαίων δικαιωμάτων προαίρεσης
Risk hedging via options contracts for physical delivery
KeywordsΑντιστάθμιση κινδύνου ; Προϊόντα φυσικής παράδοσης ; Risk hedging ; Options contracts ; Physical distribution of goods ; Physical delivery
In this thesis, we present an analytical study for the valuation of options contracts for physical delivery that enable a distribution of risk between the trading partners. The main risk are the spot market price risk, the demand risk for buyers and the marginal cost risk for sellers, which are finding applications to many industrial sectors such as the chemical and electric industry, are extensively studied. Many analytical expressions for the optimal reservation quantity for buyers and the optimal benefit for sellers are derived and related to the risk management needs in the industry. Τhe aim of the present thesis is to provide how optioncontracts for physical delivery can be incorporated into the company’s risk management approach and be related with appropriate financial derivatives.