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dc.contributor.authorAase, Knut K.
dc.date.accessioned2006-07-13T12:18:09Z
dc.date.available2006-07-13T12:18:09Z
dc.date.issued2002
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163657
dc.description.abstractSuppose 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.en
dc.format.extent298855 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2002:22en
dc.subjectarea yield optionsen
dc.subjectfuturesen
dc.subjectcontinous time modellingen
dc.subjectquantity and price securingen
dc.subjectlocking in a certain revenueen
dc.subjectCBOT yield contractsen
dc.titleArea yield futures and options : risk management and hedgingen
dc.typeWorking paperen


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