Shao, Renyuan; Roe, Brian - In: Journal of Futures Markets 23 (2003) 11, pp. 1047-1073
Asian‐Basket‐type moving‐window contracts are an increasingly used risk‐management tool in the North American 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 break‐even price is...