Hedging Price Risk with Options and Futures for the Competitive Firm with Production Flexibility
研究当部分投入决策可在价格确定后做出时，风险规避企业如何利用期货和期权对冲价格风险，发现仅当利润函数为价格二次型时生产和套期保值决策才可分离，且最优期货套保等于预期产量，同时应持有空头跨式期权组合。
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 also affects the firm's input decisions in general. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.