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Hedging downside risk: futures vs. options

โœ Scribed by Donald Lien; Yiu Kuen Tse

Book ID
114344187
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
100 KB
Volume
10
Category
Article
ISSN
1059-0560

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## Abstract This paper analyzes the hedging decisions for firms facing price and basis risk. Two conditions assumed in most models on optimal hedging are relaxed. Hence, (i) the spot price is not necessarily linear in both the settlement price and the basis risk and (ii) futures contracts and optio