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Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market

✍ Scribed by Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng

Book ID
122860640
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
622 KB
Volume
40
Category
Article
ISSN
0264-9993

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## Abstract This study examines the dynamic hedging performance of the one‐factor LIBOR and swap market models in both caps and swaptions markets, using a procedure similar to the way that these models are used in practice. The effects of different calibration methods on model performance are inves