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Area yield futures and options : risk management and hedging

Aase, Knut K.
Working paper
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URI
http://hdl.handle.net/11250/163657
Date
2002
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  • Discussion papers (FOR) [556]
Abstract
Suppose there exists a market for yield futures contracts as well as ordinary futures contracts for price. Intuitively one would think that a combined use of yield contracts and and futures price contracts ought to provide a reasonable strategy for locking in revenue.

In the paper this is made precise - it is shown that revenue can be approximately locked in by a combined, dynamic use of these to markets. This procedure is perfect if the correlation between yield and price is zero. The relevant strategy is characterized: It depends only on observable price information in these two separate markets, not on the specification of parameters in utility functions of the agents involved.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2002:22

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