Simultaneous output and input hedging: a decision analysis

Moawia Alghalith

Journal of Risk Finance, 2008, vol. 9, issue 2, 200-205

Abstract: Purpose - The purpose of this paper is to present a realistic hedging model. Design/methodology/approach - The paper uses a general utility function, general distributions, and a multiple‐input technology. Findings - The study finds that the impact of one or both risks on the optimal output, hedge, or hedge ratio is determined by the market structure of one or both forward pieces. Originality/value - This is the first paper that uses a general, complete, and realistic hedging model.

Keywords: Input/output analysis; Hedging; Pricing; Financial risk; Stock options (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:15265940810853940

DOI: 10.1108/15265940810853940

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