## Abstract Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers typically are allowed to deliver any of several grades of the underlying commodity and at any of several locations. On the delivery day, the futures price as such needs not converge to the spot pri
Risk hedging via options contracts for physical delivery
โ Scribed by Stefan Spinler; Arnd Huchzermeier; Paul Kleindorfer
- Publisher
- Springer
- Year
- 2003
- Tongue
- German
- Weight
- 188 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0171-6468
No coin nor oath required. For personal study only.
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The article investigates how sensitive different dynamic and static hedge strategies for barrier options are to model risk. It is found that using plainvanilla options to hedge offers considerable improvements over usual โฌ hedges. Further, it is shown that the hedge portfolios involving options are
utures contracts in Government National Mortgage Association (GNMA) F passthrough certificates were introduced on the Chicago Board of Trade (CBT) in 1975. Two types of contracts exist. The GNMA Collateralized Depository Receipt (CDR) future delivery vehicle is a CDR backed by GNMA certificates. The