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Hedging Pressure Effects in Futures Markets

โœ Scribed by Frans A. De Roon; Theo E. Nijman; Chris Veld


Book ID
108502960
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
113 KB
Volume
55
Category
Article
ISSN
0022-1082

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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