The Time Pattern of Hedging and the Volatility of Futures Prices
提出一个多期对冲模型，允许在现货持有期内调整期货头寸，检验两期对冲理论在多期下的稳健性，并分析逐日盯市制度及生产不确定性随时间消解如何影响对冲行为与期货价格波动。
The paper proposes a multi-period model of hedging which allows for a futures position to be revised within the cash market holding period. Within this framework, we assess the robustness of the two-period theory of hedging when generalized to many periods. We characterize the normal time path of a hedge and the way it is affected by the requirement that futures accounts "mark to market" daily. Finally we show how the resolution of production uncertainty over time affects hedging behavior and determines the volatility of futures prices.