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Decision analysis models of futures options purchase decisions

Author

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  • Samson, D
  • Wirth, A

Abstract

Decision analysis models can provide powerful insights about the relationships between variables in the futures/options purchase decision. These variables include the decision-maker's risk attitude, assessed price distribution, options conditions and price. This paper structures the 'put' option purchase decision faced by decision-makers (as price takers) who consider using the options market to modify their risk profile. Such models can be used to evaluate options as a form of commodity price insurance.

Suggested Citation

  • Samson, D & Wirth, A, 1990. "Decision analysis models of futures options purchase decisions," Omega, Elsevier, vol. 18(3), pages 259-267.
    • Handle: RePEc:eee:jomega:v:18:y:1990:i:3:p:259-267
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    Cited by:

    1. Manikas, Andrew & Chang, Yih-Long & Ferguson, Mark, 2009. "BlueLinx can benefit from innovative inventory management methods for commodity forward buys," Omega, Elsevier, vol. 37(3), pages 545-554, June.
    2. 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.

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