Risk management with options and futures
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Axel F. A. Adam-Müller; Argyro Panaretou
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Article
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2009
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John Wiley and Sons
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English
⚖ 367 KB
👁 2 views
## 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 risk‐free rate. This study analyzes the optimal risk management and production decisions of a firm facing joint price