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  • Search: subject:"uncertainty of time"
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forwards 1 hedging 1 risk management 1 uncertainty of time 1
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Korn, Olaf 1
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Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1
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Hedging price risk when payment dates are uncertain
Korn, Olaf - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in practice. It derives and establishes the variance minimizing dynamic hedging strategy, using forward contracts with different times to maturity. The resulting strategy fully hedges...
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