Hedging using synthetic options:An Example of Protective Put on Commodity Futures
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007648" target="_blank" >RIV/61989100:27510/03:00007648 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Hedging using synthetic options:An Example of Protective Put on Commodity Futures
Original language description
The paper provides a general representation for commodity price hedging (long hedge) under standard Black-Scholes asset dynamic consideration. The basic 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
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Czech description
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Classification
Type
C - Chapter in a specialist book
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Book/collection name
Departamento de Estadística, Econometría, Investigación Operativa y Organización de Empresas: Documentos de Trabajo
ISBN
84-95723-03-4
Number of pages of the result
9
Pages from-to
1-9
Number of pages of the book
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Publisher name
Universidad de Córdoba
Place of publication
Córdoba
UT code for WoS chapter
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