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Hedging price risk under production flexibility and basis risk

Author

Listed:
  • Olivier Mahul

    (ESR - Unité de recherche d'Économie et Sociologie Rurales - INRA - Institut National de la Recherche Agronomique)

  • . American Risk And Insurance Association

    (ARIA - American Risk and Insurance Association)

Abstract

Le contrat optimal de couverture contre le risque de prix pour une entreprise disposant d'une production flexible est déterminé en présence d'un risque de base. Il contient un prix critique au-dessous ou au-dessus duquel une indemnité non linéaire est versée selon que la corrélation entre les prix sur le marché au comptant et sur le marché à terme est positive ou négative. Cet optimum de premier rang est utilisé pour analyser la stratégie optimale de couverture avec des contrats à terme et des contrats d'options en présence d'un risque de prix et de base. Des résultats de la littérature financière sont généralisés.

Suggested Citation

  • Olivier Mahul & . American Risk And Insurance Association, 1999. "Hedging price risk under production flexibility and basis risk," Post-Print hal-01952106, HAL.
    • Handle: RePEc:hal:journl:hal-01952106
    as

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    Cited by:

    1. Dillon, Carl R., 1999. "Production Practice Alternatives For Income And Suitable Field Day Risk Management," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(2), pages 1-15, August.

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