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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
Fractal and Fractional, 2023 In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is ...
Zhidong Guo, Yang Liu, Linsong Dai
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PLoS ONE, 2023 This study utilizes the hedging potential of the U.S. Dollar Index (USDX) during the COVID-19 period, specifically comparing its positive effects on optimal portfolio weights and hedging ratios with those of traditional hedging assets, such as the VIX ...
Seok-Jun Yun +2 more
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Contribution of Exchange Traded Funds in Hedging Crude Oil Price Risk
American Business Review, 2023 In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and the futures contract in hedging crude oil price risk.
Keshab Shrestha +2 more
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HortScience, 2023 Recently, some commercial apple growers have been adopting hedging as an alternative or supplement to hand-pruning. With increasing labor costs across the United States, alternatives to hand-pruning and current training systems are being considered.
Thiago Campbell +2 more
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Using Neural Networks to Price and Hedge Variable Annuity Guarantees
Risks, 2018 This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations ...
Daniel Doyle, Chris Groendyke
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Relaxing the Assumptions of Minimum-Variance Hedging
Journal of Agricultural and Resource Economics, 1996 The most important minimum-variance hedging ration assumptions are (a) that production is deterministic and (b) that all of the agent's wealth is invested in the cash position. Stochastic production greatly reduces optimal hedge ratios.
Sergio H. Lence
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Frontiers in Physics, 2023 This paper examines the impact of risk spillovers between Chinese stock and futures markets on stock hedging policies. This paper calculates the correlation between the overall risk spillover and the hedging ratio, effectiveness, and hedging cost based ...
Kai Shi, Junlian Gong
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CVaR Hedging under Stochastic Interest Rate
Frontiers in Applied Mathematics and Statistics, 2015 In this paper we assess the partial hedging problems by formulating hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio loss under stochastic interest rate environment.
Angela eTsao +2 more
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Hedging Around a CEO Change: Further Evidence from the Oil and Gas Industry
American Business Review, 2023 This study examines hedging activities around hiring of chief executive officer (CEO). Data on the use of derivatives by a sample of oil and gas firms were hand collected from the 10-k filings and compared for several years before and after a CEO change.
Zahid Iqbal, Shekar Shetty
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