Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging
Year of publication: |
2003
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Authors: | Chang, Carolyn C. W. ; Chang, Jack S. K. |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 23.2003, 12, p. 1209-1237
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Subject: | Hedging | Schock | Shock | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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