This paper studies the pricing, timing and hedging of an American call option written on a non-tradable asset whose …-based indifference pricing principal, stochastic control and filtering theory, under CARA utility, we derive the value and the exercise …

This study examines the inflation-hedging ability of commodity futures. Applying a Markov-switching vector error … metals exhibit significant inflation-hedging properties. Other subindexes, including energy, precious metals, agriculture and … livestock, do not have significant inflation hedging ability. The hedging capacity of industrial metal futures exhibits …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …

the business cycle. Fourth, it proves that the commodities retained their inflation hedging abilities in the financialized …