Risk management with options and futures under liquidity risk

Article 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
  • Metrics
    0
    views in OpenAIRE
    0
    views in local repository
    215
    downloads in local repository

    The information is available from the following content providers:

    From Number Of Views Number Of Downloads
    Lancaster EPrints - IRUS-UK 0 215
Share - Bookmark