dc.contributor.author | Aase, Knut K. | |
dc.date.accessioned | 2006-07-13T12:18:09Z | |
dc.date.available | 2006-07-13T12:18:09Z | |
dc.date.issued | 2002 | |
dc.identifier.issn | 1500-4066 | |
dc.identifier.uri | http://hdl.handle.net/11250/163657 | |
dc.description.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. | en |
dc.format.extent | 298855 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | en |
dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
dc.relation.ispartofseries | Discussion paper | en |
dc.relation.ispartofseries | 2002:22 | en |
dc.subject | area yield options | en |
dc.subject | futures | en |
dc.subject | continous time modelling | en |
dc.subject | quantity and price securing | en |
dc.subject | locking in a certain revenue | en |
dc.subject | CBOT yield contracts | en |
dc.title | Area yield futures and options : risk management and hedging | en |
dc.type | Working paper | en |