Optimal corporate hedging using options with basis and production risk

Author:

Bajo Emanuele,Barbi MassimilianoORCID,Romagnoli Silvia

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference27 articles.

1. On the coherence of expected shortfall;Acerbi;Journal of Banking and Finance,2002

2. Capital expenditures, financial constraints, and the use of options;Adam;Journal of Financial Economics,2009

3. Hedging with futures and options;Adler;Studies in Banking and Finance,1988

4. Optimal risk management using options;Ahn;Journal of Finance,1999

5. High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables;Araújo Santos;North American Journal of Economics and Finance,2013

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3. The optimal multi-period hedging model of currency futures and options with exponential utility;Journal of Computational and Applied Mathematics;2020-03

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