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
Subjects:	Mathematics
Online Access:	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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Institution:	Chiang Mai University

id	th-cmuir.6653943832-58808
record_format	dspace
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
_version_	1681425134616838144

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

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