Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10014278033
We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice. We derive a semi-closed form for an optimal hedging strategy with dualobjectives -- to minimise both the variance of the hedged portfolio and the probability of liquidationsdue...
Persistent link: https://www.econbiz.de/10013250825