Dynamic currency futures and options hedging model

DOI10.1155/2019/8074384zbMath1435.91194OpenAlexW2954196696WikidataQ127561587 ScholiaQ127561587MaRDI QIDQ2298819

Xing Yu, Yanyin Li, Zhongkai Wan

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/8074384

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• Estimating value at risk of portfolio by conditional copula-GARCH method
• Export and strategic currency hedging
• Trade and currency options hedging model
• Dynamic hedging based on fractional order stochastic model with memory effect
• Production and hedging in futures markets with multiple delivery specifications
• The Hedging Role of Options and Futures Under Joint Price, Basis, and Production Risk
• Standard Risk Aversion

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