On the optimal mix of corporate hedging instruments: Linear versus nonlinear derivatives
研究了面临产量和价格双重风险的企业，如何在考虑财务困境成本下，选择线性与非线性衍生品的最优组合，发现随风险增加线性合约减少而非线性合约增加，替代程度取决于产量与价格的关联。
Abstract We examine how corporations should choose their optimal mix of linear and nonlinear derivatives. We present a model in which a firm facing both quantity (output) and price (market) risk maximizes its expected profits when subjected to financial distress costs. The optimal hedging position generally is comprised of linear contracts, but as the levels of quantity and price‐risk increase, the use of linear contracts will decline due to the risks associated with overhedging. At the same time, a substitution effect occurs toward the use of nonlinear contracts. The degree of substitution will depend on the correlation between output levels and prices. Our model also allows us to provide insight into the relation between a firm's derivatives usage and its transaction‐cost structure. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:217–239, 2003