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Long hedgers and multiple delivery specifications on futures contracts

✍ Scribed by Da-Hsiang Donald Lien

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 556 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110504

No coin nor oath required. For personal study only.

✦ Synopsis

irtually all futures contracts provide sellers with various delivery options to ease their concerns of possible long squeezes as maturity dates near. With the exception of Livingston (1987), the literature seems to conclude delivery options have a nonzero value. (

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Hedger response to multiple grades of delivery on futures markets

✍ Da-Hsiang Donald Lien 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 951 KB

The approach adopted here is similar to that of Anderson and Danthine (1981). However, they consider the effects of adding a new futures contract for Z while we consider the case of incorporating Z as an alternative deliverable grade into the existing contract. In other words, they compare the case