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Price-risk management with options: Optimal market positions and institutional value

✍ Scribed by George W. Ladd; Steven D. Hanson

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 920 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110608

No coin nor oath required. For personal study only.

✦ Synopsis

Project No. 2858. 'Brown (1985) modifies the model used by both Johnson (1959-1960) and Stein (1961) by using returns in place of price levels, and his empirical results tend to support the traditional hedge when the objective is risk minimization.

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## Abstract This study extends the long‐term temperature model proposed by Alaton et al. (2002) by taking into account ARCH/GARCH effects to reflect the clustering of volatility in temperature. The fixed variance model and the ARCH model are estimated using Taiwan weather data from 1974 through 200