Production, Hedging, and Speculative Decisions with Options and Futures Markets

摘要: This paper analyzes production, hedging, and speculative decisions when both futures options can be used in an expected utility model of price basis uncertainty. When option prices are unbiased, optimal hedging requires only (options redundant). Options together with as tools market perceived biased. Straddles to speculate on beliefs about volatility hedge the position value price. Mean-variance analysis general is not consistent allowed. One extension Sandmo's competitive firm under uncertainty considers use or forward contracts. Danthine; Holthausen; Feder, Just, Schmitz show that without output level affected by risk; also, unbiased price, full hedge, while a biased will result partly hedge. Related works include Batlin, who allows for risk form imperfect time hedging; Paroush Wolf, Antonovitz Nelson, consider simultaneous availability contracts; Grant, Honda, Losq, Newbery Stiglitz, Rolfo, allow production uncertainty; Chavas Pope, costs; Karp, problem dynamic setting. provides further this allowing means coping risk. With introduction commodity many commodities 1980s, appears relevant number settings, especially agriculture. Specifically, choice levels within model. The uncertainty, but process assumed nonstochastic.