Production, Hedging, and Speculative Decisions with Options and Futures Markets
在价格和基差不确定的期望效用模型中，分析了同时使用期货和期权时的生产、套期保值和投机决策。当期货和期权价格无偏时，最优套期保值只需期货；期权与期货结合用于投机，跨式组合用于投机价格波动信念并套期保值投机头寸。
Abstract This paper analyzes production, hedging, and speculative decisions when both futures and options can be used in an expected utility model of price and basis uncertainty. When futures and option prices are unbiased, optimal hedging requires only futures (options are redundant). Options are used together with futures as speculative tools when market prices are perceived as biased. Straddles are used to speculate on beliefs about price volatility and to hedge the futures position used to speculate on beliefs about the expected value of the futures price. Mean‐variance analysis in general is not consistent with expected utility when options are allowed.