Hedging Price Risk with Options and Futures for the Competitive Firm with Production Flexibility
GianCarlo Moschini and
Harvey Lapan
Staff General Research Papers Archive from Iowa State University, Department of Economics
Abstract:
When some input decisions can be made after price is realized, separation between production and hedging decisions still holds only under limited circumstances. Under the assumption of a restricted profit function that is quadratic in price, the optimal futures hedge of a risk averse firm equals expected output and a short straddle position is desirable assuming that futures and options prices are unbiased. In this case the use of options not only raises expected utility by reducing income risk, but in general also affects the firm input decisions.
Date: 1992-08-01
References: Add references at CitEc
Citations: View citations in EconPapers (20)
Published in International Economic Review, August 1992, vol. 33 no. 3, pp. 607-618
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: Hedging Price Risk with Options and Futures for the Competitive Firm with Production Flexibility (1992) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:10043
Access Statistics for this paper
More papers in Staff General Research Papers Archive from Iowa State University, Department of Economics Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070. Contact information at EDIRC.
Bibliographic data for series maintained by Curtis Balmer ().