Futures markets and commodity options: Hedging and optimality in incomplete markets
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- scientific article; zbMATH DE number 5371071
Cites work
- A Quantitative Theory of Risk Premiums on Securities with an Application to the Term Structure of Interest Rates
- A theory of the term structure of interest rates
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- An Intertemporal Capital Asset Pricing Model
- scientific article; zbMATH DE number 3446637 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3307201 (Why is no real title available?)
- Information, futures prices, and stabilizing speculation
- On the optimality of equilibrium when the market structure is incomplete
- Optimal Production and Allocation Under Uncertainty
- Options and Efficiency
- The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
- The pricing of options and corporate liabilities
Cited in
(17)- On the qualitative properties of futures market equilibrium
- Optimal spreading when spreading is optimal
- Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
- Optimal futures innovation in a dynamic economy: The discrete-time case
- Optimal price policy and the futures markets
- Futures market equilibrium with heterogeneity and a spot market at harvest
- Endogenous determination of the degree of market-incompleteness in futures innovation
- Solving the liquidity constraint by options on futures
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- Strategic commodity allocation
- Optimal portfolios in commodity futures markets
- The effect of trading futures on short sale constraints
- On optimal portfolio choice under stochastic interest rates
- Optimal hedging and equilibrium in a dynamic futures market
- The futures price of a commodity in fixed supply
- Dynamic asset pricing with non-redundant forwards
- Optimal portfolio choice for unobservable and regime-switching mean returns
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