Les opérations de Metallgesellschaft sur les marchés à terme de produits pétroliers:spéculation ou couverture ?

Delphine Lautier ()
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Delphine Lautier: Université de Nantes

Revue Finance Contrôle Stratégie, 1998, vol. 1, issue 3, pages 107-129

Abstract: An analysis focusing on the financial aspects is proposed for the strategy initiated by Metallgesellschaft (MG) in 1993-94 on American petroleum markets. According to a specific definition of hedging, and on the basis of a detailed survey of the facts, this strategy is described as speculative. Technically, this deal is considered to be the first attempt to hedge a long term position on the physical markets with short-dated instruments. Arbitrage models derived from the option pricing paradigm allows one to draw the conclusion that this kind of deal is conceivable, but that MG's strategy was deficient. Lastly, a study of the risks indicates that they where probably underestimated.

Keywords: Metallgesellschaft; petroleum futures markets; speculation; stochastic models; hedging. (search for similar items in EconPapers)
Date: 1998

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Persistent link: http://EconPapers.repec.org/RePEc:dij:revfcs:v:1:y:1998:i:q3:p:107-129

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