Minimizing the variance of the coverage ratio as an approach to optimize the exchange rate risk of Brent futures contracts
Derivatives markets show that their structure is always characterized by periods of strong price fluctuations. This is true regardless of the underlying asset of the futures contracts considered, whether they are commodities, interest rates, exchange rates, shares, stock market indices, etc. By lock...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2022-01-01
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| Series: | International Journal for Simulation and Multidisciplinary Design Optimization |
| Subjects: | |
| Online Access: | https://www.ijsmdo.org/articles/smdo/full_html/2022/01/smdo210126/smdo210126.html |