Optimal hedging in the futures market under price uncertainty

DOI10.1016/0165-1765(83)90076-9zbMATH Open1273.91435OpenAlexW1982259326WikidataQ126463454 ScholiaQ126463454MaRDI QIDQ374856FDOQ374856

Simon Benninga, Itzhak Zilcha, Rafael Eldor

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/275367/files/TEL-AVIV-FSWP-047.pdf

Mathematics Subject Classification ID

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

Cited In (8)

• VALUING THE FUTURES-MARKET PERFORMANCE GUARANTEE
• Good deal hedging and valuation under combined uncertainty about drift and volatility
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal hedging and equilibrium in a dynamic futures market
• Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
• Preference-free optimal hedging using futures
• Some covariance inequalities for non-monotonic functions with applications to mean-variance indifference curves and bank hedging

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