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- W1977250923 abstract "The aim of this paper is to show that an option on futures may solve the liquidity constraint problem. I consider a consumer (or an investor) who wishes to discount her future income in order to finance her present consumption (investment). Under asymmetric information, such an agent may incur a liquidity constraint (credit rationing). However, the optimal constrained consumption, as a function of future income, resembles a short position of a put option written on future income. This implies that allocating savings to a long call option position on futures may restore the unconstrained relationship between the optimal present consumption and future income. The option on a futures contract is constructed so that the (future) agent’s income is correlated with some futures contract (but this is private information) on which the option is issued. The allocation of savings of the borrower to the option on futures turns out to be financially beneficial compared to the allocation of savings to the risk-free investment." @default.
- W1977250923 created "2016-06-24" @default.
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- W1977250923 date "2014-03-01" @default.
- W1977250923 modified "2023-09-23" @default.
- W1977250923 title "Solving the liquidity constraint by options on futures" @default.
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- W1977250923 doi "https://doi.org/10.1016/j.jmateco.2014.01.014" @default.
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