Financial derivatives, such as futures, options, and swaps, are not contracts on exogenous states of the world, as in Arrow (1964): their payoffs depend on the endogenous market prices of certain goods. How well do markets for price risk approximate the richer state-contingent contracts analyzed by Arrow? We solve analytically for equilibrium trades, asset prices, and welfare in price-linked derivative contract markets, illustrating the role that these derivatives play in risk sharing.