On the Delta-hedging of the option price on future from the Black-Scholes equation

© 2018 by the Mathematical Association of Thailand. All rights reserved. At present the option on future is popular one for trading but there are some problems of risk. So the minimizing of risk which is call the hedging is needed. In this paper we studied such hedging by using the Delta-hedging whi...

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Main Authors: Amnuay Kananthai, Rujira Ouncharoen
Format: Journal
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/58808
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-588082018-09-05T04:32:50Z On the Delta-hedging of the option price on future from the Black-Scholes equation Amnuay Kananthai Rujira Ouncharoen Mathematics © 2018 by the Mathematical Association of Thailand. All rights reserved. At present the option on future is popular one for trading but there are some problems of risk. So the minimizing of risk which is call the hedging is needed. In this paper we studied such hedging by using the Delta-hedging which is popular at present. We found the new results which having the interesting properties. We hope that such results may be useful in the research area the Financial Mathematics. 2018-09-05T04:32:50Z 2018-09-05T04:32:50Z 2018-04-01 Journal 16860209 2-s2.0-85046378157 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85046378157&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58808
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Mathematics
spellingShingle Mathematics
Amnuay Kananthai
Rujira Ouncharoen
On the Delta-hedging of the option price on future from the Black-Scholes equation
description © 2018 by the Mathematical Association of Thailand. All rights reserved. At present the option on future is popular one for trading but there are some problems of risk. So the minimizing of risk which is call the hedging is needed. In this paper we studied such hedging by using the Delta-hedging which is popular at present. We found the new results which having the interesting properties. We hope that such results may be useful in the research area the Financial Mathematics.
format Journal
author Amnuay Kananthai
Rujira Ouncharoen
author_facet Amnuay Kananthai
Rujira Ouncharoen
author_sort Amnuay Kananthai
title On the Delta-hedging of the option price on future from the Black-Scholes equation
title_short On the Delta-hedging of the option price on future from the Black-Scholes equation
title_full On the Delta-hedging of the option price on future from the Black-Scholes equation
title_fullStr On the Delta-hedging of the option price on future from the Black-Scholes equation
title_full_unstemmed On the Delta-hedging of the option price on future from the Black-Scholes equation
title_sort on the delta-hedging of the option price on future from the black-scholes equation
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85046378157&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58808
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