Hedging mean-reverting commodities

DOI10.1093/IMAMAN/DPP013zbMath1187.91207OpenAlexW3123400712MaRDI QIDQ5851041

Elmar Lukas, Udo Broll, Ephraim Clark

Publication date: 21 January 2010

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpp013

zbMATH Keywords

hedgingmean revertingcommodity price risk

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

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