Hedging with Commodity Options When Price Distributions are Skewed
用比较静态分析证明，当价格分布不对称时，期权在降低偏斜度方面更有价值，对冲者可能根据偏斜方向和价格预期买入或卖出期权。
Abstract Lapan, Moschini, and Hanson have demonstrated that commodity options can be useful for hedgers who face a symmetric price distribution and who wish to maintain a net open market position. This is because options skew the distribution of profits to the right and such skewness typically increases expected utility. In this paper I use standard comparative statics to show that options are relatively more valuable for reducing the skewness of a nonsymmetric price distribution. Depending on the direction of the skewness and the underlying price expectations, hedgers may write options as well as purchase them.