Showing 1 - 10 of 43
This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European claim. This allows pricing and hedging under...
Persistent link: https://www.econbiz.de/10011552886
Persistent link: https://www.econbiz.de/10010240223
Persistent link: https://www.econbiz.de/10011391637
Persistent link: https://www.econbiz.de/10010514019
Persistent link: https://www.econbiz.de/10010244570
Persistent link: https://www.econbiz.de/10010348818
Persistent link: https://www.econbiz.de/10010422183
Persistent link: https://www.econbiz.de/10012642973
Persistent link: https://www.econbiz.de/10010187469
Persistent link: https://www.econbiz.de/10012034182