Risk management with options and futures under liquidity risk

Article English OPEN
Adam-Müller, A F A; Panaretou, A;
(2009)

Futures hedging creates liquidity risk through marking to market. Liquidity risk matters if interim losses on a futures position have to be financed at a markup over the risk-free rate. This study analyzes the optimal risk management and production decisions of a firm f... View more
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