Multiperiod Production with Forward and Option Markets
分析前瞻性企业在远期和期权市场中的生产与对冲决策，发现当远期和期权价格无偏时，企业会使用期权进行对冲，这与短视行为的研究结论不同。模拟结果支持理论并展示期权市场对最优远期头寸的影响。
Abstract Production and hedging in both forward and options markets are analyzed for forward‐looking firms that maximize expected utility. In the presence of unbiased forward and options prices, it is shown that such firms will use options as hedging instruments. This result contrasts with the conclusions from studies that assume myopic behavior, and occurs because forward‐looking agents care about the effect of future output prices on profits from future production cycles. Simulations support the theoretical results and show how the introduction of an options market influences the optimal forward position.