Optimizing hedging effectiveness of Indian agricultural commodity futures: a simulation approach

DOI10.1007/S10690-021-09355-3MaRDI QIDQ6054302zbMATH OpenOpenAlexFDO

Authors Sanjay Mansabdar, Hussain C. Yaganti

Publication date 28 September 2023

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-021-09355-3

zbMATH Keywords

agricultural commodity futureshedging effectivenesslocation optionsMonte Carlo simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(2)

• Predicting wheat futures prices in India
• Agricultural commodity futures trading based on cross-country rolling quantile return signals

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