Hedging Production Risk With Options
求解了面临价格和生产双重不确定性的生产者的期望效用最大化问题，发现引入生产不确定性会改变最优期货和期权头寸，生产者几乎总是应该购买看跌期权并在期货市场上少做对冲。模拟结果支持用期货对冲最低预期产量、用看跌期权对冲剩余预期产量的下行价格风险。
Abstract The expected utility maximization problem is solved for producers with both price and production uncertainty who have access to both futures and options markets. Introduction of production uncertainty alters the optimal futures and options position and almost always makes it optimal for the producer to purchase put options and to underhedge on the futures market. Simulation results lend support to the practice of hedging the minimum expected yield on the futures market and hedging remaining expected production against downside price risk using put options. The results are strengthened if the producer expects local production to influence national prices and if risk aversion is higher at low income levels.