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A model for optimizing options and futures

✍ 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

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πŸ“œ SIMILAR VOLUMES


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## 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

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## Abstract This article uses the algorithm developed by Ritchken and Sankarasubramanian (1995) to make comparisons among the Heathβ€”Jarrowβ€”Morton (HJM) models (Heath, Jarrow, & Morton, 1992) with different volatility structures in pricing the Eurodollar futures options. We show that the differences