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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    C - Chapter in a specialist book

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • 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

  • Publisher name

    Universidad de Córdoba

  • Place of publication

    Córdoba

  • UT code for WoS chapter