The Demand for Hedging with Futures and Options
Article Abstract:
The marginal cost of hedging is nonzero when the optimal hedging portfolio is shown to include both futures and options under a variety of circumstances.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
Statistical Data Included
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Pricing Eurodollar Futures Options with the Heath-Jarrow-Morton Model
Article Abstract:
This study examines comparisons with the Heath-Jarrow-Morton models and different volatility structures in pricing the Eurodollar futures options.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Hedging in Incomplete Markets: An Approximation Procedure for Practical Application
Article Abstract:
This study examines the approximation procedure used for calculating the optimal quantity of derivatives in the futures market.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
Subjects list: Research, United States, Futures market, Futures markets
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