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Strategic use of futures and options by commodity processors
Bullock, David W.; Wilson, William W.; Dahl, Bruce L. - In: International review of economics & finance : IREF 16 (2007) 4, pp. 578-591
Persistent link: https://www.econbiz.de/10003613198
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Hedging volatility risk
Brenner, Menachem; Ou, Ernest Y.; Zhang, Jin E. - In: Journal of banking & finance 30 (2006) 3, pp. 811-821
Persistent link: https://www.econbiz.de/10003300389
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Conservative Delta hedging under transaction costs
Fukasawa, Masaaki - In: Recent advances in financial engineering 2011: …, (pp. 55-72). 2012
Persistent link: https://www.econbiz.de/10009573488
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The efficient hedging problem for American options
Mulinacci, Sabrina - In: Finance and stochastics 15 (2011) 2, pp. 365-397
Persistent link: https://www.econbiz.de/10009159078
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - 2013
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a …. The main theorem is duality between hedging and a Monge-Kantorovich type optimization problem. In this dual transport …
Persistent link: https://www.econbiz.de/10009750655
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Coherent risk measure for derivatives under black-scholes economy with regime switching
Hao, Fangcheng; Yang, Hailiang - In: Managerial finance 37 (2011) 11, pp. 1011-1024
Persistent link: https://www.econbiz.de/10009388902
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Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy
Acharya, Viral V. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700287
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Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy
Acharya, Viral V.; Carpenter, Jennifer N. - In: The review of financial studies 15 (2002) 5, pp. 1355-1383
Persistent link: https://www.econbiz.de/10001718711
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Quantity-adjusting options and forward contracts
Babbel, David F.; Eisenberg, Laurence K. - 1991
Persistent link: https://www.econbiz.de/10001613489
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Issues in hedging options positions
Nandi, Saikat; Waggoner, Daniel F. - In: Economic review 85 (2000) 1, pp. 24-39
Persistent link: https://www.econbiz.de/10001494845