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Dynamic optimal hedge ratio design when price and production are stochastic with jump |
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| Authors: | Gaston Cl&# ment,Nyassoke Titi,Jules, Sadefo Kamdem,Aim&# , Fono Louis |
| Affiliation: | Gaston Clément,Nyassoke Titi,Jules, Sadefo Kamdem,Aimé, Fono Louis |
| Abstract: | Annals of Finance - In this paper, we focus on the farmer’s risk income when using commodity futures, when price and output processes are randomly correlated and represented by jump-diffusion... |
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