Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging

In a doubly stochastic jump‐diffusion economy with stochastic jump arrival intensity and proportional transaction costs, we develop a five‐factor risk‐return asset pricing inequality to model optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm'...

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Veröffentlicht in:	The journal of futures markets 2003-12, Vol.23 (12), p.1209-1237
Hauptverfasser:	Chang, Carolyn W., Chang, Jack S. K.
Format:	Artikel
Sprache:	eng
Schlagworte:	Costs Economics Finance Futures Hedging Pricing Supply and demand
Online-Zugang:	Volltext
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