Abstract

CLIMENT HERNANDEZ, José Antonio; RODRIGUEZ BENAVIDES, Domingo  and  MARTINEZ PALACIOS, María Teresa Verónica. Structured product to minimize production energy costs by substituting oil with gas. Contad. Adm [online]. 2022, vol.67, n.1, pp.257-282.  Epub Sep 10, 2024. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2022.3035.

This work presents innovations with α-stable processes to value a structured product to minimize energy costs in a given period assuming that an organization selects between oil and gas to produce electricity. The short position of the European put option is to minimize energy costs and the long position of the risk-free bond has a nominal value equivalent to a forward contract and is the estimated energy cost that the organization is willing to pay. The innovation is the valuation of the structured product modeling the underlying returns with an α-stable stochastic process. The performance of the returns is analyzed with descriptive statistics and the α-stable parameters estimation, statistically justifying the relevance of the αstable process with goodness of fit tests. Concluding that hedging for price risk minimizes energy costs, α-stable options are statistically more efficient and less expensive than Gaussian options and that gas is less expensive than oil in the period studied.

Keywords : stochastic processes; financial engineering; structured products.

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