Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng - In: Economic Modelling 40 (2014) C, pp. 81-90
This paper introduces a new incomplete index and establishes a new optimal hedging model. We find that when the market micro-noise is perfectly negatively correlated with the return of futures market, market incompleteness depends on the relative level of noise volatility. Especially when noise...