Dynamic hedging of commercial paper with T-bill futures
Article Abstract:
A dynamic hedging model was developed for commercial paper that takes advantage of time dependencies present in the joint density of commercial paper and T-bill futures. The hedging effectiveness of the dynamic model is compared to that of the static regression model. Results reveal that dynamic hedging is superior to static hedging in terms of both total variance reduction and expected utility maximization.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
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What moves the tail? the determinants of the option-implied probability density function of the DAX index
Article Abstract:
The option implied probability density function (PDF) of German stock returns is examined. The usage of option prices for large movements in the DAX index is discussed. It is concluded that the United States stock market information has the strongest effect on the five summary measures of the option implied DAX PDF.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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