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Optimal hedging with futures options

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  • Wolf, Avner

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  • Wolf, Avner, 1987. "Optimal hedging with futures options," Journal of Economics and Business, Elsevier, vol. 39(2), pages 141-158, May.
    • Handle: RePEc:eee:jebusi:v:39:y:1987:i:2:p:141-158
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    Cited by:

    1. Akron, Sagi, 2019. "The optimal derivative-based corporate hedging strategies under equity-linked managerial compensation," Emerging Markets Review, Elsevier, vol. 41(C).
    2. Troncoso Sepúlveda, Ricardo & Cabas Monje, Juan, 2019. "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44, January.
    3. Adam, Tim Rene, 2002. "Risk management and the credit risk premium," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 243-269, March.
    4. Bullock, David W. & Wilson, William W. & Dahl, Bruce L., 2007. "Strategic use of futures and options by commodity processors," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 578-591.
    5. Blank, Steven C., 1989. "Hedging Objectives, Hedging Markets, And The Relevant Range Of Hedge Ratios," Working Papers 225826, University of California, Davis, Department of Agricultural and Resource Economics.
    6. Harvey Lapan & Giancarlo Moschini & Steven D. Hanson, 1991. "Production, Hedging, and Speculative Decisions with Options and Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(1), pages 66-74.
    7. Mark Manfredo & Timothy Richards, 2009. "Hedging with weather derivatives: a role for options in reducing basis risk," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 87-97.
    8. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    9. Ricardo Troncoso-Sepúlveda & Juan Cabas-Monje, 2019. "Feasibility of using futures contracts of the Chicago Mercantile Exchange for hedging price risk in Chilean cattle," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 90, pages 9-44, Enero - J.
    10. Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.

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