THE DESIGN AND PRICING OF FIXED AND MOVING WINDOW CONTRACTS: AN APPLICATION OF ASIAN-BASKET OPTION PRICING METHODS TO THE HOG FINISHING SECTOR
Asian-Basket type moving window contracts are an increasingly used risk management tool in US hog sector. The moving window contract is decomposed into a portfolio of a long Asian-Basket put and a short Asian-Basket call option. A projected breakeven price is used to determine the floor price, and then Monte Carlo simulation methods are used to price both a moving and a fixed window contract. These methods provide unbiased pricing of fixed and moving window hog finishing contracts of one-year duration.
Year of publication: |
2002
|
---|---|
Authors: | Shao, Renyuan ; Roe, Brian E. |
Institutions: | Agricultural and Applied Economics Association - AAEA |
Keywords: | Livestock Production/Industries |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Shao, Renyuan, (2001)
-
Shao, Renyuan, (2001)
-
Shao, Renyuan, (2001)
- More ...