Data/hora: 13/06/2024 17:15:09

Provedor de dados: | 31
País: | United States
Título: | ON THE PRICING OF CROSS CURRENCY FUTURES OPTIONS FOR CANADIAN GRAINS AND LIVESTOCK
Autores: | Turvey,   Calum G.; Yin,   Shihong.
Data: | 2002-03-08
Ano: | 2002
Palavras-chave: | Marketing.
Resumo: | This paper explores the problem of pricing an option on the cash commodity in Canadian dollars when the commodity is priced relative to a U.S. futures market.  A general options pricing model is developed that separates out the value of a quantos risk and basis risk.  The paper uses daily data for cattle, corn and soybeans in Ontario, and the model is employed to price the option on the cash commodity with basis risk and the option on a quantos, without basis risk.  The relationship between the pricing model and over-the-counter options and market revenue insurance is also discussed.
Tipo: | Working or Discussion Paper
Idioma: | Inglês

Identificador:

4063

http://purl.umn.edu/34123

Editor: | AgEcon Search

Relação:

University of Guelph&gt;Department of Agricultural Economics and Business&gt;Working Papers

Working Paper 02/07

Formato:

16

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