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首页> 外文期刊>International Review of Economics and Finance >The effects of abandonment options on operating leverage and forward hedging
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The effects of abandonment options on operating leverage and forward hedging

机译：放弃期权对经营杠杆和远期套期的影响

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This paper examines the behavior of the competitive firm under output price uncertainty when the firm is endowed with an abandonment option and has access to a forward market for its output. When the realized output price is less than its marginal cost, the firm optimally exercises its abandonment option and ceases production. The firm lets its abandonment option extinguish, thereby producing up to its capacity, only when the realized output price exceeds its marginal cost. The ex post exercising of the abandonment option as such convexifies the firm's ex ante profit with respect to the random output price. We show that neither the separation theorem nor the full-hedging theorem holds in the presence of the abandonment option. The firm under-hedges its output price risk exposure in the forward market wherein the forward price contains a nonpositive risk premium. When the set of hedging instruments is expanded to include options, we show that both the separation and full-hedging theorems are restored. We further show that the firm prefers options to forwards for hedging purposes when both types of contracts are fairly priced.
机译：本文研究了竞争性公司在被赋予放弃选择权并能够进入其期货市场的情况下在产出价格不确定性下的行为。当实现的产出价格低于其边际成本时，企业最佳地行使其放弃选择权并停止生产。只有当实现的产出价格超过其边际成本时，该公司才会放弃其放弃的期权，从而提高其生产能力。放弃期权的事后行使就这样凸显了公司相对于随机产出价格的事前利润。我们表明，在存在放弃期权的情况下，分离定理和完全对冲定理都不成立。公司在远期市场对冲其产出价格风险敞口，其中远期价格包含非正风险溢价。当套期保值工具扩展到包括期权时，我们表明分离和完全套期定理都得到了恢复。我们进一步表明，当两种类型的合同都定价合理时，公司更倾向于使用期权而非对冲进行对冲。

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