Managing Risk with Short-Term Futures Contracts

被引：2

作者：

Wu, Zhijian ^{[1
]}

Yu, Chunhui ^{[2
]}

Zheng, Xiaohua ^{[1
]}

机构：

[1] Univ Alabama, Dept Math, Tuscaloosa, AL 35487 USA

[2] Alabama A&M Univ, Dept Math, Normal, AL 35762 USA

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2011年 / 2卷 / 01期

关键词：

optimal hedging; spot risk; futures contracts; STRATEGY;

D O I：

10.1137/100782437

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Under the constraint of terminal risk, we search for an optimal deterministic strategy to reduce the running risk in hedging a long-term commitment with short-term futures contracts. An explicit solution is given if the underlying stock follows the simple stochastic differential equation dS(t) = mu dt + sigma dB(t), where B-t is the standard Brownian motion. Our result generalizes the result of Larcher and Leobacher in [Math. Finance, 13 (2003), pp. 331-344]. As an application, we provide a solution to the utility optimization problem posed in that paper.

引用

页码：715 / 726

页数：12

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