The Hedging Role of Options and Futures Under Joint Price, Basis, and Production Risk

DOI10.2307/2527271zbMath0848.90015MaRDI QIDQ4883151

Harvey E. Lapan, GianCarlo Moschini

Publication date: 1 July 1996

Published in: International Economic Review (Search for Journal in Brave)

zbMATH Keywords

constant absolute risk aversionhedging role of options

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38)

Related Items (6)

Trade and currency options hedging model ⋮ Solving the liquidity constraint by options on futures ⋮ Hedging decisions with price and output uncertainty ⋮ Dynamic currency futures and options hedging model ⋮ The preferred hedge instrument ⋮ Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management

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