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Hedging in futures and option markets with basis risk
[Décisions de couverture sur les marchés à terme et d'options en présence de risque de base]

Author

Listed:
  • Olivier Mahul

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

Abstract

L'article analyse les décisions de couverture d'une firme faisant face à un risque de prix et un risque de base. Deux hypothèses retenues dans la plupart des modèles relatifs aux décisions de couverture sont relâchées. Ainsi, (i) le prix au comptant n'est pas nécessairement linéaire par rapport au prix à terme et à la base et (ii) les contrats à terme et les contrats d'options (à différents prix d'exercice) sont à la disposition de la firme. La stratégie de couverture de premier rang est d'abord caractérisée, puis elle est utilisée pour analyser la demande de contrats à terme et de contrats d'options. Le rôle des contrats d'options en tant qu'instruments de couverture est mis en évidence à partir de cet optimum de premier rang.

Suggested Citation

  • Olivier Mahul, 2002. "Hedging in futures and option markets with basis risk [Décisions de couverture sur les marchés à terme et d'options en présence de risque de base]," Post-Print hal-02678112, HAL.
    • Handle: RePEc:hal:journl:hal-02678112
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    Citations

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    Cited by:

    1. Patrick L. Brockett & Mulong Wang & Chuanhou Yang, 2005. "Weather Derivatives and Weather Risk Management," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 127-140, March.
    2. 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.
    3. Korn, Olaf & Rieger, Marc Oliver, 2016. "Hedging with regret," CFR Working Papers 16-06, University of Cologne, Centre for Financial Research (CFR).
    4. Korn, Olaf & Rieger, Marc Oliver, 2019. "Hedging with regret," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 192-205.

    More about this item

    Keywords

    FONCTION DE PRODUCTION;

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