Derivative pricing model and time‐series approaches to hedging: A comparison
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Cited by:
- Elisa Scarpa & Matteo Manera, 2008.
"Pricing and hedging illiquid energy derivatives: An application to the JCC index,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(5), pages 464-487, May.
- Matteo Manera & Elisa Scarpa, 2006. "Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index," Working Papers 2006.130, Fondazione Eni Enrico Mattei.
- Scarpa, Elisa & Manera, Matteo, 2006. "Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index," International Energy Markets Working Papers 12115, Fondazione Eni Enrico Mattei (FEEM).
- An-Sing Chen & Yan-Zhen Liu, 2008. "Enhancing hedging performance with the spanning polynomial projection," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 605-617.
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