Replication of protective put on commodity futures by discretely adjusted portfolio

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F02%3A00002369" target="_blank" >RIV/61989100:27510/02:00002369 - isvavai.cz</a>

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Replication of protective put on commodity futures by discretely adjusted portfolio

Original language description

The paper provides a general representation for commodity price hedging (long hedge). The base delta-approach is studied in more detail in order to provide an exact replication of put on futures. The Black's model inclusive of a convenience yield and a cost of carry is adjusted to replicate an option on commodity futures. A platinum futures hedge concludes the paper.

Czech name

—

Czech description

—

Type

A - Audiovisual production

CEP classification

AH - Economics

OECD FORD branch

—

Project

—

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2002

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

ISBN

—

Place of publication

—

Publisher/client name

—

Version

—

Carrier ID

—