This paper considers the hedging problem of a portfolio composed of raw materials and a commodity. A new theoretical model is presented to manage the risk exposure of the portfolio under the mark-to-market risk. Moreover, we employ the Lemke algorithm to obtain the optimal hedging strategy. We...

Unlike options, warrant issuance changes the distribution of the stock price process. Indeed, firms issuing warrants are also debt financed. In this situation, it is natural to consider the distribution of the stock price process for a firm, which is debt–warrant combination. This paper is...