Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate [PDF]
We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modified Leland's strategy recently defined by the second author, contrarily to the classical one, ensures the asymptotic ...
Emmanuel Denis, Sebastien Darses
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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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Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments [PDF]
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to ...
Yukihiro Tsuzuki +2 more
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Did Producer Hedging Opportunities in the Live Hog Contract Decline? [PDF]
The paper assesses the usefulness of selective hedging strategies when combined with forecast techniques in the live hog contract. The use of routine futures and options hedging is not attractive relative to a cash-only strategy. However, forecasting and
Fabio C. Zanini, Philip Garcia
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Static hedging of Asian options under Lévy models: the comonotonicity approach. [PDF]
In this paper we present a simple static super-hedging strategy for the payoff of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge is optimal in some sense.
Albrecher, H +3 more
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Comparing conditional hedging strategies. [PDF]
The traditional approach to discriminate amongst two competing hedging strategies is to compare the sample portfolio return variance implied by each strategy. This simple approach suffers from two drawbacks.
de Ville, e Goyet, C
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Hedging versus not hedging: strategies for managing foreign exchange transaction exposure [PDF]
This paper compares a number of strategies for managing foreign exchange exposures. The strategies are never hedging, hedging every exposure using a forward exchange contract, and hedging on selective occasions using a forward exchange contract.
Scott McCarthy
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Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach [PDF]
, 2005 Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $\hat{C_{0}}$ and then hedged. We consider recursive "one-period optimal" self-financing
Ibáñez, Alfredo
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Hedging, financing, and investment decisions: a simultaneous equations framework [PDF]
The purpose of this paper is to empirically investigate the interaction between hedging, financing, and investment decisions. This work is relevant in that theoretical predictions are not necessarily identical to those in the case where only two ...
Stephen D. Smith, Chen-Miao Lin
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Large liquidity expansion of super-hedging costs. [PDF]
We consider a financial market with liquidity cost as in Cetin, Jarrow and Protter [3] where the supply function S"(s; ) depends on a parameter " 0 with S0(s; ) = s corresponding to the perfect liquid situation.
Possamai, Dylan +2 more
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