Theory and Measurement of Exotic Options in U.S. Agricultural Support Programs
Theoretical models are derived for pricing derivative market instruments with payoff structures identical to those implied by the deficiency, Findley, and loan programs. Numerical approximation methods are used to obtain market premiums for the exotic contingent claims embedded in these types of programs. The application focuses on a comparison of the value of traditional support programs for corn to that of an exchange put offered under the Option Pilot Program. The comparison provides measures of expected cost to the government and of the value of the programs to the producer. Copyright 1997, Oxford University Press.
Year of publication: |
1997
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Authors: | Tirupattur, Viswanath ; Hauser, Robert J. ; Boyle, Phelim P. |
Published in: |
American Journal of Agricultural Economics. - Agricultural and Applied Economics Association - AAEA. - Vol. 79.1997, 4, p. 1127-1139
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Publisher: |
Agricultural and Applied Economics Association - AAEA |
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