The Hedging Role of Options and Futures Under Joint Price, Basis, and Production Risk

DOI10.2307/2527271MaRDI QIDQ4883151zbMATH OpenFDO

Authors GianCarlo Moschini, Harvey E. Lapan

Publication date 1 July 1996

Published in International Economic Review (Search for Journal in Brave)

zbMATH Keywords

constant absolute risk aversionhedging role of options

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38)

Recommendations

• Production and hedging decisions in futures and forward markets
• Hedging and the competitive firm under ambiguous price and background risk
• Production and hedging in futures markets with multiple delivery specifications
• Optimal hedging under output price uncertainty
• Optimal hedging in the futures market under price uncertainty

Cited in

(13)

• Production and hedging decisions in futures and forward markets
• Combined custom hedging: optimal design, noninsurable exposure, and operational risk management
• The preferred hedge instrument
• Hedging and the competitive firm under ambiguous price and background risk
• Solving the liquidity constraint by options on futures
• Hedging decisions with price and output uncertainty
• Hedging of crop harvest with derivatives on temperature
• Trade and currency options hedging model
• The Impact of Delivery Risk on Optimal Production and Futures Hedging *
• Dynamic optimal hedge ratio design when price and production are stochastic with jump
• Dynamic currency futures and options hedging model
• Production with risk hedging -- optimal policy and efficient frontier
• Production and hedging in futures markets with multiple delivery specifications

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