## Abstract Futures hedging creates liquidity risk through marking to market. Liquidity risk matters if interim losses on a futures position have to be financed at a markup over the riskβfree rate. This study analyzes the optimal risk management and production decisions of a firm facing joint price
Risk management flexibility with nymex natural gas options
β Scribed by Mitchell, Jacquelyn S.
- Publisher
- John Wiley and Sons
- Year
- 2008
- Weight
- 699 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0743-5665
No coin nor oath required. For personal study only.
β¦ Synopsis
premium u p front to eliminate that opportunity cost.
An option essentially works like an insurance policy. If homeowners want to protect themselves against a risk, they pay an up-front premium. If the risk
π SIMILAR VOLUMES
Basket options are among the most popular products of the new generation of exotic options. They are particularly attractive because they can efficiently and simultaneously hedge a wide variety of intrinsically different financial risks and are flexible enough to cover all the risks faced by firms.
Project No. 2858. 'Brown (1985) modifies the model used by both Johnson (1959-1960) and Stein (1961) by using returns in place of price levels, and his empirical results tend to support the traditional hedge when the objective is risk minimization.
## Abstract The availability of the natural gas futures contract offers industry participants the opportunity to enter into stable supply agreements with partners of known reliability even though both parties to the agreement have differing views on the timing and magnitude of price changes. Altho