statichedgingwithuncertainquantityanddeparturefromthecostofcarryvaluation

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	statichedgingwithuncertainquantityanddeparturefromthecostofcarryvaluation
	Qingwei Liu 1; Yi Li 2; Shouyang Wang1
	2006
发表期刊	actamathematicaeapplicataesinica
ISSN	0168-9673
卷号	22 期号:1 页码:127
摘要	In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/43295
专题	系统科学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.中国科学院
推荐引用方式 GB/T 7714	Qingwei Liu,Yi Li,Shouyang Wang. statichedgingwithuncertainquantityanddeparturefromthecostofcarryvaluation[J]. actamathematicaeapplicataesinica,2006,22(1):127.
APA	Qingwei Liu,Yi Li,&Shouyang Wang.(2006).statichedgingwithuncertainquantityanddeparturefromthecostofcarryvaluation.actamathematicaeapplicataesinica,22(1),127.
MLA	Qingwei Liu,et al."statichedgingwithuncertainquantityanddeparturefromthecostofcarryvaluation".actamathematicaeapplicataesinica 22.1(2006):127.