The demand for hedging with futures and options

Journal of Futures Markets

Volumn 21, Issue 8, 2001, Pages 693-712

  Frechette, Darren L ^a  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035609623     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.1801     Document Type: Article

References (15)

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4. Briys, E., Crouhy, M., & Schlesinger, H. (1993). Optimal hedging in a futures market with background noise and basis risk. European Economic Review, 37, 949-960.
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10. Hirshleifer, D. (1988). Risk, futures pricing, and the organization of production in commodity markets. Journal of Political Economy, 96, 1206-1220.
11. Kahl, K. H. (1983). Determination of the recommended hedging ratio. American Journal of Agricultural Economics, 65, 603-605.
12. Lapan, H. E., & Moschini, G. (1994). Futures hedging under price, basis, and production risk. American Journal of Agricultural Economics, 76, 465-477.
13. Lapan, H. E., Moschini, G., & Hanson, S. D. (1991). Production, hedging, and speculative decisions with options and futures markets. American Journal of Agricultural Economics, 73, 66-74.
14. Lence, S. H. (1995). The economic value of minimum-variance hedges. American Journal of Agricultural Economics, 77, 353-364.
15. Lence, S. H. (1996). Relaxing the assumptions of minimum-variance hedging. Journal of Agricultural and Resource Economics, 21, 39-55.