Futures hedging under mark-to-market risk

Journal of Futures Markets

Volumn 23, Issue 4, 2003, Pages 389-398

  Lien, Donald ^a   Li, Anlong ^b  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^b University of Texas San Antonio ^*

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037376241     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10068     Document Type: Review

References (7)

1. Benninga, S., Eldor, R., & Zilcha, I. (1983). Optimal hedging in the futures market under price uncertainty. Economics Letters, 13, 141-145.
2. Brown, G. W., & Khokher, Z. (2001). Corporate risk, market imperfections, and speculative motives. Working Paper, University of North Carolina, Chapel Hill.
3. Figlewski, S., Lanskroner, Y., & Silber, W. L. (1991). Tailing the hedge: Why and how. Journal of Futures Markets, 11, 201-212.
4. Kolb, R. W. (2000). Futures, options, & swaps. Oxford, UK: Blackwell Publishers.
5. Lence, S. H. (1995). On the optimal hedge under unbiased futures prices. Economics Letters, 47, 385-388.
6. Liu, J., & Longstaff, F. A. (2000). Losing money on arbitrages. Working Paper, University of California, Los Angeles.
7. Strong, R. A. (2002). Derivatives: An introduction. Cincinnati, OH: Southwestern.