Pricing and hedging of long-term futures and forward contracts by a three-factor model

DOI10.1080/14697680903341780zbMath1280.91177OpenAlexW2110495626MaRDI QIDQ5745645

Akihiko Takahashi, Kenichiro Shiraya

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903341780

zbMATH Keywords

commodity pricesmulti-factor modelshedging errorshedging techniques

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

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Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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