Hedging mean-reverting commodities

DOI10.1093/IMAMAN/DPP013MaRDI QIDQ5851041zbMATH OpenOpenAlexFDO

Authors Udo Broll, Ephraim Clark, Elmar Lukas

Publication date 21 January 2010

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpp013

zbMATH Keywords

hedgingmean revertingcommodity price risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Utility theory (91B16)

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(8)

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