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Optimal hedging with futures options

โœ Scribed by Avner Wolf


Book ID
116095992
Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
720 KB
Volume
39
Category
Article
ISSN
0148-6195

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The Demand for Hedging with Futures and
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## 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

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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