Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?-Reference-Cited by-同舟云学术

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Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?

Published:2018-07-24 Issue:1 Volume:39 Page:109-127
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Cheng Benjamin¹,Nikitopoulos Christina Sklibosios¹^ORCID,Schlögl Erik¹

Affiliation:

1. Finance Discipline Group, UTS Business School University of Technology Sydney Broadway NSW Australia

Funder

Australian Research Council

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.21954

Reference32 articles.

1. Does model fit matter for hedging? Evidence from FTSE 100 options

2. Pricing Options On Risky Assets In A Stochastic Interest Rate Economy

3. Cross-hedging minimum return guarantees: Basis and liquidity risks

4. Pricing and hedging long-term options

5. Chapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. B: Financial Instruments and Markets;World Banking Abstracts;2019-05-28

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