haku: @author Lafuente, J. A. / yhteensä: 3
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| Tekijä: | Lafuente, J. A. Novales, A. |
| Otsikko: | Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market |
| Lehti: | Journal of Banking and Finance
2003 : JUN, VOL. 27:6, p. 1053-1078 |
| Asiasana: | Hedging Futures markets Stock index options |
| Kieli: | eng |
| Tiivistelmä: | Assuming a geometric Brownian motion for spot prices, the authors model mispricing as a specific noise component in the dynamics of futures market prices. Empirical evidence on the model is provided for the Spanish stock index futures. Ex-ante simulations with actual data reveal that hedge ratios that take into account the estimated, time varying, correlation between the common and specific disturbances, lead to using a lower number of futures contracts than under a systematic unit ratio, without generally losing hedging effectiveness, while reducing transaction costs and capital requirements. |
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