TY  - RPRT
AU  - Novales Cinca, Alfonso Santiago
PY  - 2002
UR  - https://hdl.handle.net/20.500.14352/64513
AB  - We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futures market price and its theoretical valuation according to the cost-of-carry model. Assuming a geometric Brownian motion for spot prices, we model...
LA  - eng
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - Optimal hedging
KW  - Futures contract
KW  - Stock Index
KW  - GARCHmodels
KW  - Mispricing
TI  - Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market
TY  - technical report
VL  - 2002
ER  -