Data/hora: 13/06/2024 00:35:24

Provedor de dados: | 31
País: | United States
Título: | Managing Livestock Feed Cost Risks Using Futures and Options
Autores: | Chen,   Gang; Roberts,   Matthew C.; Roe,   Brian E.
Data: | 2005-05-17
Ano: | 2005
Palavras-chave: | Risk and Uncertainty.
Resumo: | The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976 option model and stochastic volatility jump diffusion (SVJD) model are compared in volatility forecasting performance. In general, SVJD is superior to Black's model, though their performance is both commodity-specific and forecasting horizon specific. The price forecast can assist livestock producers to assess different feed procurement strategies in terms of the distribution of costs projected for each strategy.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

16428

http://purl.umn.edu/19399

Editor: | AgEcon Search

Relação:

American Agricultural Economics Association&gt;2005 Annual meeting, July 24-27, Providence, RI

Selected Paper 136943

Formato:

25

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