Search Results - subject:"Multiperiod hedging"

Multiperiod hedging using futures: Mean reversion and the optimal hedging path

Rao, Vadhindran K. - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 133-161

This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures …

Persistent link: https://www.econbiz.de/10011843230

Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path

Rao, Vadhindran K. - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 133-161

This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures …

Persistent link: https://www.econbiz.de/10010699157

Multiperiod hedging using futures : mean reversion and the optimal hedging path

Rao, Vadhindran K. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 133-161

This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures …

Persistent link: https://www.econbiz.de/10011555950

Closed-Loop Solution For Optimal Sequential Hedging And Forward Contracting In U.S. Hog Production

Pa, Chung; Turvey, Calum G.; Meilke, Karl D. - Department of Food, Agricultural and Resource Economics … - 2002

This paper developes a multiperiod model in which hedge adjustments are allowed. The two major marketing alternatives specified in the model are to sell in the spot market or to forward contract using formula pricing. To proxy the underlying forward contract value, the American put call parity...

Persistent link: https://www.econbiz.de/10010913245