CCC 0270-731 4/95/050559-13 contains an empirical section on optimal futures and options positions for a fat cattle producer. The simulation method there is different from the simulation-optimization procedure proposed in this study. The empirical analysis in is based on the optimization result de
A model for optimizing options and futures
β Scribed by B.A. Murtagh; R.W. Murtagh
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 352 KB
- Volume
- 2
- Category
- Article
- ISSN
- 0969-6016
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Under standard perfect market assumptions, the cost-of-carry formula can be applied to calculate the value of a pure (futures-style margining) European futures option at time t with maturity at T [Duffie (1989, p. 285); Lieu (1990, p. 332)l: where EC and EP are conventional European futures option
he Black futures option pricing model is tested on soybean futures options T using intraday transaction prices and three volatility estimation methods: historical, forecast and implied. The model performs best with implied volatility; average deviations from actual prices are one tenth of one cent p
## Abstract The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is nonzero. Futures and options are treated as substitute goods, and the properties of the resulting hedging demand system are explained. The ove
## Abstract This article uses the algorithm developed by Ritchken and Sankarasubramanian (1995) to make comparisons among the HeathβJarrowβMorton (HJM) models (Heath, Jarrow, & Morton, 1992) with different volatility structures in pricing the Eurodollar futures options. We show that the differences