Futures markets and commodity options: Hedging and optimality in incomplete markets
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
- Abraham Lioui & Patrice Poncet, 2000. "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, vol. 46(5), pages 658-668, May.
- Longstaff, Francis A & Wang, Ashley, 2002. "ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt3mw4q41x, Anderson Graduate School of Management, UCLA.
- Lioui, Abraham & Poncet, Patrice, 2003.
"Dynamic asset pricing with non-redundant forwards,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 27(7), pages 1163-1180, May.
- Abraham Lioui & Patrice Poncet, 2001. "Dynamic Asset Pricing With Non-Redundant Forwards," Working Papers 2001-10, Bar-Ilan University, Department of Economics.
- Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
- Kazemi, Hossein B. & Warotamasikkhadit, Dolly & Nageswaran, V. Anantha, 1997. "International convergence of short-term and long-term interest rates: Theory and empirical tests," Global Finance Journal, Elsevier, vol. 8(2), pages 239-256.
- Wojakowski, Rafał M., 2012. "How should firms selectively hedge? Resolving the selective hedging puzzle," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 560-569.
- repec:sbe:breart:v:26:y:2006:i:2:a:1579 is not listed on IDEAS
- Merton, Robert C, 1998. "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, vol. 88(3), pages 323-349, June.
- Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee.
- Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 1-29, December.
- Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
- Lioui, Abraham & Poncet, Patrice, 1996. "Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1101-1113.
- Brennan, Michael, 1997. "The Role of Learning in Dynamic Portfolio Decisionsâ€," University of California at Los Angeles, Anderson Graduate School of Management qt8js8x85g, Anderson Graduate School of Management, UCLA.
- Lioui, Abraham & Poncet, Patrice, 2001. "On optimal portfolio choice under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1841-1865, November.
- Mellios, Constantin & Six, Pierre & Lai, Anh Ngoc, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," European Journal of Operational Research, Elsevier, vol. 250(2), pages 493-504.
- Constantin Mellios & Pierre Six & Anh Ngoc Lai, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," Post-Print halshs-01244560, HAL.
- Bullock, David William, 1989. "Options and market information: a mean-variance portfolio approach," ISU General Staff Papers 1989010108000010107, Iowa State University, Department of Economics.
- Lioui, Abraham & Poncet, Patrice, 2002. "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 241-264, April.
- Longstaff, Francis & Wang, Ashley, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7mh2m2bt, Anderson Graduate School of Management, UCLA.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
When requesting a correction, please mention this item's handle: RePEc:eee:jetheo:v:32:y:1984:i:2:p:275-300. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Follow series, journals, authors & more
New papers by email
Subscribe to new additions to RePEc
Public profiles for Economics researchers
Various rankings of research in Economics & related fields
Who was a student of whom, using RePEc
Curated articles & papers on various economics topics
Upload your paper to be listed on RePEc and IDEAS
Blog aggregator for economics research
Cases of plagiarism in Economics
Job Market Papers
RePEc working paper series dedicated to the job market
Pretend you are at the helm of an economics department
Services from the StL Fed
Data, research, apps & more from the St. Louis Fed