Low, Aaron; Muthuswamy, Jayaram; Sakar, Sudipto; Terry, Eric - In: Journal of Futures Markets 22 (2002) 12, pp. 1179-1203
The hedging problem is examined where futures prices obey the cost‐of‐carry model. The resultant hedging model explicitly incorporates maturity effects in the futures basis. Formulas for the optimal static and dynamic hedges are derived. Although these formulas are developed for the case of...