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Price Discovery and Microstructure in Ether Spot and Derivative Markets

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Ethereum is an important blockchain, being the first and most popular public platform for the smart contracts underpinning financial transactions, time-stamping of supply chains, decentralized applications and initial coin offerings. Ethereum's cryptocurrency, ether, is actively traded on...

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Crypto quanto and inverse options

Alexander, Carol; Chen, Ding; Imeraj, Arben - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1005-1043

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Optimal hedging and spreading in cointegrated markets

Lien, Da-hsiang Donald - In: Economics letters 40 (1992) 1, pp. 91-95

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Application of mean-variance analysis to broad-based futures contracts

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Optimal hedging and spreading on wheat futures markets

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Estimating multiperiod hedge ratios in cointegrated markets

Lien, Da-hsiang Donald - In: The journal of futures markets 13 (1993) 8, pp. 909-920

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The effect of the cointegration relationship on futures hedging : a note

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Hedging time-varying downside risk

Lien, Da-hsiang Donald - In: The journal of futures markets 18 (1998) 6, pp. 705-722

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Risk aversion, disappointment aversion, and futures hedging

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The effect of liquidity constraints on futures hedging

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