Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump
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DOI: 10.1007/s10436-022-00410-1
Note: View the original document on HAL open archive server: https://hal.umontpellier.fr/hal-02417401
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- Nyassoke Titi Gaston Clément & Sadefo Kamdem Jules & Fono Louis Aimé, 2022. "Dynamic optimal hedge ratio design when price and production are stochastic with jump," Annals of Finance, Springer, vol. 18(3), pages 419-428, September.
References listed on IDEAS
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More about this item
Keywords
Jump-diffusion process; futures; stochastic dynamic programming; Lévy measure; risk management;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2022-04-25 (Operations Research)
- NEP-RMG-2022-04-25 (Risk Management)
- NEP-UPT-2022-04-25 (Utility Models and Prospect Theory)
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