✦ LIBER ✦

A note on price futures versus revenue futures contracts

✍ Scribed by Donald Lien; David A. Hennessy

Publisher: John Wiley and Sons
Year: 2004
Tongue: English
Weight: 84 KB
Volume: 24
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10131

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Here we consider the hedging roles of a price futures contract versus a revenue futures contract. In the
absence of idiosyncratic output risk, the revenue contract almost always dominates the price contract.
Idiosyncratic output risk provides conditions under which the price contract should dominate. When production
risk
is largely idiosyncratic, a producer with an anticipated long actuals position might combine a long revenue
futures position with a short price futures position. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark
24:503–512, 2004

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