IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v13y2003i2p331-344.html
   My bibliography  Save this article

An optimal Strategy for Hedging with Short‐Term Futures Contracts

Author

Listed:
  • G. Larcher
  • G. Leobacher

Abstract

The search for an optimal strategy to reduce the running risk in hedging a long‐term supply commitment with short‐dated futures contracts leads to a class of intrinsic optimization problems. We give an explicit analytic solution for this optimization problem if the market price of the commodity is based on a simple Gaussian model, thereby replacing previously used incomplete approximations to the optimal strategy.

Suggested Citation

  • G. Larcher & G. Leobacher, 2003. "An optimal Strategy for Hedging with Short‐Term Futures Contracts," Mathematical Finance, Wiley Blackwell, vol. 13(2), pages 331-344, April.
    • Handle: RePEc:bla:mathfi:v:13:y:2003:i:2:p:331-344
    DOI: 10.1111/1467-9965.00019
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9965.00019
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9965.00019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Raphaël H. Boroumand & Stéphane Goutte & Ehud I. Ronn, 2020. "Characterizing the hedging policies of commodity price‐sensitive corporations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1264-1281, August.
    2. Gunther Leobacher, 2008. "On a class of optimization problems emerging when hedging with short term futures contracts," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 65-90, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:13:y:2003:i:2:p:331-344. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.