Malamud, Semyon; Tseng, Michael C.; Zhang, Yuan - In: Equilibrium models for derivatives markets with frictions, (pp. 45-60). 2018
In the chapter titled "The Demand for Commodity Options", we develop a simple equilibrium model in which commercial hedgers, i.e., producers and consumers, use commodity options and futures to hedge price and quantity risk. We derive an explicit relationship between expected futures returns and...
