Hulley, Hardy; McWalter, Thomas A. - 2008
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QUANTITATIVE FINANCE RESEARCH CENTRE
Research Paper 225 June 2008
Quadratic Hedging of Basis Risk.
Hardy Hulley … and T.A. McWalter
ISSN 1441-8010
QUADRATIC HEDGING OF BASIS RISK
H. HULLEYy AND T. A. MCWALTERz;
Abstract … European claim. This
allows pricing and hedging under the minimal martingale measure, cor-
responding to the local risk …