Results 51 to 60 of about 3,858,948 (202)
Arbitrage Bounds on Currency Basket Options
Mathematical and Computational Applications, 2020 This article exploits arbitrage valuation bounds on currency basket options. Instead of using a sophisticated model to price these options, we consider a set of pricing models that are consistent with the prices of available hedging assets.
Yi Hong
doaj +1 more source
Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?
Journal of Agricultural and Resource Economics, 2019 We compare the volatility of organic wheat prices to that of conventional wheat prices using historical measures. To reduce uncertainty, we examine the possibility of cross hedging using conventional wheat futures and the ability of futures to forecast ...
Tatiana Drugova +3 more
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Futures Cross-Hedging with a Stationary Basis
Journal of Financial and Quantitative Analysis, 2012 AbstractWhen managing risk, frequently only imperfect hedging instruments are at hand. We show how to optimally cross-hedge risk when the spread between the hedging instrument and the risk is stationary. For linear risk positions we derive explicit formulas for the hedge error, and for nonlinear positions we show how to obtain numerically efficient ...
Ankirchner, Stefan +3 more
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Cross Hedging with Single Stock Futures [PDF]
This study evaluates the efficiency of cross hedging with the new single stock futures (SSF) contracts recently introduced in the United States. We use matched sample estimation techniques to select SSF contracts that will reduce the basis risk of ...
Sang Soo Kim +2 more
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Modal hedging verbs in English as a Lingua Franca (ELF) Business Management research articles
Kalbotyra, 2017 When publishing the results of their research, scholars need to convince their readers of the validity of their claims, adjusting their writing to the prevailing discursive and rhetorical conventions.
Pilar Mur-Dueñas
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Cross-Hedging Fishmeal: Exploring Corn and Soybean Meal Futures Contracts [PDF]
During 2006 the fishmeal price nearly doubled from $500MT to over $900MT. The objective of this research is to determine the optimal cross-hedge ratio between fishmeal and soybean meal and corn, and corresponding hedging weight between corn and soybean ...
Altman, Ira J. +3 more
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Cross-hedging wild salmon prices
Journal of Commodity Markets, 2023 Rune Nygaard, Kristin H. Roll
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Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk [PDF]
, 2013 This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account both mortality and interest-rate risk, on both assets and liabilities.
Regis, Luca, Luciano, Elisa
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CASH ETHANOL CROSS-HEDGING OPPORTUNITIES [PDF]
Increased use of alternative fuels and low commodity prices have contributed to the recent expansion of the ethanol industry. As with any competitive industry, there exists some level of output price risk in the form of volatility.
Franken, Jason R.V., Parcell, Joseph L.
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HEDGING WHOLESALE BEEF CUTS [PDF]
Live cattle futures markets do not offer much opportunity for effective hedging of wholesale beef cuts. If a Choice-to-Select price spread futures contract were introduced this would enhance hedging effectiveness although likely not enough to encourage ...
Schroeder, Ted C., Yang, Xiaolou
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