Electronic Resource
350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK .
:
Blackwell Publishers, Inc.
Mathematical finance
13 (2003), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
The search for an optimal strategy to reduce the running risk in hedging a long-term supply commitment with short-dated futures contracts leads to a class of intrinsic optimization problems. We give an explicit analytic solution for this optimization problem if the market price of the commodity is based on a simple Gaussian model, thereby replacing previously used incomplete approximations to the optimal strategy.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.00019
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