Dynamic optimal hedge ratio design when price and production are stochastic with jump (Q2675247)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic optimal hedge ratio design when price and production are stochastic with jump |
scientific article |
Statements
Dynamic optimal hedge ratio design when price and production are stochastic with jump (English)
0 references
21 September 2022
0 references
jump-diffusion process
0 references
futures
0 references
stochastic dynamic programming
0 references
Lévy measure
0 references
risk management
0 references
