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Journal of Futures Markets
Volumn 16, Issue 4, 1996, Pages 441-458
Optimum futures hedges with jump risk and stochastic basis
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Indexed keywords

EID: 0030555969     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199606)16:4<441::AID-FUT5>3.0.CO;2-I     Document Type: Article
Times cited : (7)
References (10)
  • 1
    • 84977702652 scopus 로고
    • On the Optimum Hedge of a Non Traded Cash Position
    • Adler, M., and Detemple, J. B. (1988): "On the Optimum Hedge of a Non Traded Cash Position, "Journal of Finance, 43:143-153.
    • (1988) Journal of Finance , vol.43 , pp. 143-153
    • Adler, M.1    Detemple, J.B.2
  • 2
    • 84978554435 scopus 로고
    • The Market for Japanese Stock Futures: Some Preliminary Evidence
    • Bailey, W. (1989): "The Market for Japanese Stock Futures: Some Preliminary Evidence," The Journal of Futures Markets, 9:283-295.
    • (1989) The Journal of Futures Markets , vol.9 , pp. 283-295
    • Bailey, W.1
  • 3
    • 84993894890 scopus 로고
    • Macroeconomic Influences and the Variability of the Commodity Futures Basis
    • Bailey, W., and Chan, K. C. (1993): "Macroeconomic Influences and the Variability of the Commodity Futures Basis,"Journal of Finance, 48:555-573.
    • (1993) Journal of Finance , vol.48 , pp. 555-573
    • Bailey, W.1    Chan, K.C.2
  • 4
    • 0000587181 scopus 로고
    • On Jumps in Common Stock Price and Their Impact on Call Option Pricing
    • Ball, C. A., and Torous, W. A. (1985): "On Jumps in Common Stock Price and Their Impact on Call Option Pricing," Journal of Finance, 40:155-173.
    • (1985) Journal of Finance , vol.40 , pp. 155-173
    • Ball, C.A.1    Torous, W.A.2
  • 5
    • 0000886843 scopus 로고
    • Futures Markets and Commodity Options: Hedging and Optimality in Incomplete Markets
    • Breeden, D. T. (1984): "Futures Markets and Commodity Options: Hedging and Optimality in Incomplete Markets," Journal of Economic Theory, 32:275-300.
    • (1984) Journal of Economic Theory , vol.32 , pp. 275-300
    • Breeden, D.T.1
  • 6
    • 0002844363 scopus 로고
    • The Price of Convenience and the Valuation of Commodity Contingent Claims
    • Lund, D., and Oksendal, B. (eds.). Amsterdam; Elsevier
    • Brennan, M. J. (1991): "The Price of Convenience and the Valuation of Commodity Contingent Claims," in Stochastic Models and Option Values, Lund, D., and Oksendal, B. (eds.). Amsterdam; Elsevier.
    • (1991) Stochastic Models and Option Values
    • Brennan, M.J.1
  • 8
    • 84978559831 scopus 로고
    • An Intertemporal Measure of Hedging Effectiveness
    • Chang, J. S. K., and Fang, H. (1990): "An Intertemporal Measure of Hedging Effectiveness," The Journal of Futures Markets, 10:307-321.
    • (1990) The Journal of Futures Markets , vol.10 , pp. 307-321
    • Chang, J.S.K.1    Fang, H.2
  • 9
    • 0001559684 scopus 로고
    • A Further Analysis of the Lead-Lag Relationship between the Cash Market and the Stock Index Futures Market
    • Chan, K. C. (1992): "A Further Analysis of the Lead-Lag Relationship between the Cash Market and the Stock Index Futures Market," The Review of Financial Studies, 5:123-152.
    • (1992) The Review of Financial Studies , vol.5 , pp. 123-152
    • Chan, K.C.1
  • 10
    • 79959631052 scopus 로고
    • A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability
    • Chung, Y. P., (1991): "A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability," Journal of Finance, 46:1791-1809.
    • (1991) Journal of Finance , vol.46 , pp. 1791-1809
    • Chung, Y.P.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.