[英文文献] Wanted: No Arbitrage, Dead Or Alive: A Comparison Of Hedging With Futures C... [推广有奖]

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计算数学822 发表于 2005-8-29 11:22:39 |AI写论文

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英文文献：Wanted: No Arbitrage, Dead Or Alive: A Comparison Of Hedging With Futures Contracts Or Resource Reserves For Arbitrage-Free Resource Harvest Contract Valuation
英文文献作者：Burnes, Ellen
英文文献摘要：
We develop a valuation model based on conservation rules, and stochastic prices and inventories. Dynamic programming determines the optimal harvest amount. A hedge portfolio based on a resource reserve is proposed. The optimal size of the reserve is determined, as well as its value.