Using futures contracts for corporate hedging: The problem of expiry and a possible solution
指出公司用期货套期保值时，若风险暴露期长于期货到期日，需滚动合约，这会产生基差风险并降低套保效果。作者提出一种永不到期的期货合约，可避免滚动，其价格由套利决定。
Abstract Companies using futures contracts for hedging purposes need to roll over their contracts if the maturity of their exposure exceeds that of the futures contracts. This entails basis risk that can reduce significantly the effectiveness of the hedge. In this paper an alternative form of futures contract is proposed. the contract never expires and can be used for long‐term hedging without the need for rolling‐over into a new contract. the contract is shown to be equivalent to a portfolio of conventional futures contracts of differing maturities. Its price is determined by arbitrage against the underlying asset.