This paper investigates the use of futures prices in making production decisions. We derive a preference-independent production rule for firms that face both demand and production uncertainty. This rule is compared to a simple "marginal cost equals future price" rule, which previously has been suggested for firms with deterministic output. Data for agricultural producers are used to examine the importance of output uncertainty in the determination of the proper production rule. Our analysis suggests that for many crops the simple rule is sufficiently accurate to be a useful guide to production.

This paper derives the value of Pension Benefit Guarantee Corporation (PBGC) pension insurance under two scenarios of interest. The first allows for voluntary plan termination, which appears to be legal under current statutes. In the second scenario, termination is prohibited unless the firm is bankrupt. Empirical estimates of PBGC liabilities are calculated. These show that prospective PBGC liabilities greatly exceed current reserves for plan terminations, that even under a bankruptcy‐only termination rule, PBGC liabilities still would be quite sensitive to discretionary funding policy, and that the increasingly common practice of pension spinoff/terminations, substantially increases the present value of the PBGC's contingent liabilities.

This paper derives the value of Pension Benefit Guarantee Corporation (PBGC) pension insurance under two scenarios of interest. The first allows for voluntary plan termination, which appears to be legal under current statutes. In the second scenario, termination is prohibited unless the firm is bankrupt. Empirical estimates of PBGC liabilities are calculated. These show that prospective PBGC liabilities greatly exceed current reserves for plan terminations, that even under a bankruptcy-only termination rule, PBGC liabilities still would be quite sensitive to discretionary funding policy, and that the increasingly common practice of pension spinoff/terminations, substantially increases the present value of the PBGC's contingent liabilities.

This paper seeks to explain the dramatic decline in capital to asset ratios in U.S. commercial banks during the last two decades. It is hypothesized that the rise in nominal interest rates during this period might have contributed substantially to the fall in capital ratios. Time series‐cross section estimation supports the hypothesis regarding the interest rate.

A number of futures contracts conveys to the short position various delivery options regarding the quality and exact timing of delivery. Moreover, the compensation to the long position is not solely determined by the market value of the delivered asset at the time of delivery. Sometimes, the long position can hedge this delivery risk by holding an appropriate portfolio of the underlying asset. It often has been stated that whenever the long position can form a dynamic hedge against the delivery risk, the delivery option has a zero value. This paper demonstrates the implication of such erroneous intuition to the pricing of options. It is shown that the root of the issue is the property of diffusion processes whereas, within a given time interval, a random variable either will never cross a given boundary or else, cross it an infinite number of times.

Alan J. Marcus, David M. Modest, The Valuation of a Random Number of Put Options: An Application to Agricultural Price Supports, The Journal of Financial and Quantitative Analysis, Vol. 21, No. 1 (Mar., 1986), pp. 73-86