Asian options with zero cost-of-carry: EEX options on freight and iron ore futures
نویسندگان
چکیده
منابع مشابه
Forecasting Livestock Feed Cost Risks Using Futures and Options
Practitioner's Abstract The costs of corn-and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976 option model and stochastic volatility jump diffusion (SVJD) model are compare...
متن کاملindex derivatives, index futures, index options, stock portfolio futures, stock portfolio options
nowadays, the significant increase in the banks' non- performing loans is one of the main disturbances for authorities because of its bad effects on the macroeconomic index in our country such as increasing credit risk, liquidity risk and finally bankruptcy risk. social gap in welfare programs, deviation in monetary policies, etc. are the other bad results of this phenomenon. meanwhile, du...
متن کاملPricing Asian Options on Lattices
Path-dependent options are options whose payoff depends nontrivially on the price history of an asset. They play an important role in financial markets. Unfortunately, pricing path-dependent options could be difficult in terms of speed and/or accuracy. The Asian option is one of the most prominent examples. The Asian option is an option whose payoff depends on the arithmetic average price of th...
متن کاملA better risk gauge for options portfolios - Options - Futures Magazine
Consider a complex portfolio that includes numerous options combinations corresponding to different underlying assets and created under various options strategies. A proper risk management system requires indicators that forecast risk on the portfolio level. The common tools used to evaluate risks of options are the Greeks. These measures reflect the extent to which the value of the option resp...
متن کاملArea Yield Futures and Futures Options: Risk Management and Hedging
Imagine there exist markets for yield futures contracts as well as ordinary price futures contracts. • Intuitively one would think that a combined use of yield futures contracts and price futures contracts ought to provide a reasonable strategy for insuring revenue. • In the paper this idea is made precise. It is shown that revenue can be secured in by a combined replication of these two contra...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Decisions in Economics and Finance
سال: 2020
ISSN: 1593-8883,1129-6569
DOI: 10.1007/s10203-020-00283-x