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

DOI10.2307/2527271zbMATH Open0848.90015MaRDI QIDQ4883151FDOQ4883151

Harvey E. Lapan, GianCarlo Moschini

Publication date: 1 July 1996

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

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

zbMATH Keywords

constant absolute risk aversionhedging role of options

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38)

Cited In (8)

• Production and hedging decisions in futures and forward markets
• The preferred hedge instrument
• Solving the liquidity constraint by options on futures
• Hedging decisions with price and output uncertainty
• The Impact of Delivery Risk on Optimal Production and Futures Hedging *
• Trade and currency options hedging model
• Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management
• Dynamic currency futures and options hedging model

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