摘要
In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.
In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.
基金
Supported by the National Natural Science Foundation of China(No.70221001)
