Hedging by Discretely Adjusted Portfolio: An Example of Protective Put on Commodity Futures

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00009096" target="_blank" >RIV/61989100:27510/03:00009096 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Hedging by Discretely Adjusted Portfolio: 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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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

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

Name of the periodical

ECON 02 (selected research papers)

ISSN

0862-7908

e-ISSN

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Volume of the periodical

9

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

7

Pages from-to

220-226

UT code for WoS article

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EID of the result in the Scopus database

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