TY - JOUR
T1 - Viabilidad de introducir contratos de derivados de gas natural en el Mercado Mexicano de Derivados
T2 - Un enfoque Hubbert-Grey
AU - García-Pérez, Luis Enrique
AU - Arango, Francisco Ortiz
AU - Aké, Salvador Cruz
N1 - Publisher Copyright:
© 2021 The Author(s).
PY - 2021
Y1 - 2021
N2 - After the enactment of the 2013 energy reform in Mexico, the possibility of incorporating natural gas derivative contracts into the Mexican Derivatives Market (MexDer) was opened. The aim of this research is to examine the feasibility of introducing natural gas derivative contracts in the MexDer. For this, we use the Hubert model to calculate the projection of the natural gas supply, and the demand projection is obtained through a novel combination of the Gray and the Vasicek models. Subsequently, employing Monte Carlo simulation, we calculate the premiums of a futures contract and a contract of the European options over the price of natural gas, both were designed according to the regulations of the MexDer. The results obtained show that at the moment such contracts are not viable, mainly due to the reduced volume of production for possible contracts, compared to the growing demand, so it is recommended to promote investment in the productive and commercial platform so that the natural gas derivatives transaction is viable.
AB - After the enactment of the 2013 energy reform in Mexico, the possibility of incorporating natural gas derivative contracts into the Mexican Derivatives Market (MexDer) was opened. The aim of this research is to examine the feasibility of introducing natural gas derivative contracts in the MexDer. For this, we use the Hubert model to calculate the projection of the natural gas supply, and the demand projection is obtained through a novel combination of the Gray and the Vasicek models. Subsequently, employing Monte Carlo simulation, we calculate the premiums of a futures contract and a contract of the European options over the price of natural gas, both were designed according to the regulations of the MexDer. The results obtained show that at the moment such contracts are not viable, mainly due to the reduced volume of production for possible contracts, compared to the growing demand, so it is recommended to promote investment in the productive and commercial platform so that the natural gas derivatives transaction is viable.
KW - Energy reform
KW - MEXDER
KW - derivative contracts
KW - natural gas
UR - http://www.scopus.com/inward/record.url?scp=85151163683&partnerID=8YFLogxK
U2 - 10.21919/remef.v16i1.479
DO - 10.21919/remef.v16i1.479
M3 - Artículo
AN - SCOPUS:85151163683
SN - 1665-5346
VL - 16
JO - Revista Mexicana de Economia y Finanzas Nueva Epoca
JF - Revista Mexicana de Economia y Finanzas Nueva Epoca
IS - 1
M1 - e479
ER -