Optimal hedging with futures options
โ Scribed by Avner Wolf
- Book ID
- 116095992
- Publisher
- Elsevier Science
- Year
- 1987
- Tongue
- English
- Weight
- 720 KB
- Volume
- 39
- Category
- Article
- ISSN
- 0148-6195
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is nonzero. Futures and options are treated as substitute goods, and the properties of the resulting hedging demand system are explained. The ove
## 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