Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path
نویسندگان
چکیده
منابع مشابه
Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path
This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the objective of minimizing the variance of an uncertain future cash flow. The model is used to illustrate both hedging using a matchedmaturity futures contrac...
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ژورنال
عنوان ژورنال: Journal of Risk and Financial Management
سال: 2011
ISSN: 1911-8074
DOI: 10.3390/jrfm4010133