Hedging mean-reverting commodities

IMA Journal of Management Mathematics

Volumn 21, Issue 1, 2010, Pages 19-26

  Broll, Udo ^a   Clark, Ephraim ^b,c   Lukas, Elmar ^d  

^a DRESDEN UNIVERSITY OF TECHNOLOGY   (Germany)

^b MIDDLESEX UNIVERSITY   (United Kingdom)

^c UNIV LILLE   (France)

^d UNIVERSITY OF PADERBORN   (Germany)

Author keywords

Commodity price risk; Hedging; Mean reverting

Indexed keywords

EID: 72249121301     PISSN: 1471678X     EISSN: 14716798     Source Type: Journal    
DOI: 10.1093/imaman/dpp013     Document Type: Article

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