| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Identification of stochastic processes for an estimated icewine temperature hedging variable
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| Autores: |
Cyr, Don
Kusy, Martin
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| Data: |
2008-06-19
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| Ano: |
2007
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| Palavras-chave: |
Wine market
Weather derivatives
Weather hedging
Agribusiness
Agricultural Finance
Crop Production/Industries
Environmental Economics and Policy
G13
G32
Q14
Q51
Q54
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| Resumo: |
Weather derivatives are a relatively new form of financial security that can provide firms with the ability to hedge against the impact of weather related risks to their activities. Participants in the energy industry have employed standardized weather contracts trading on organized exchanges since 1999 and the interest in non-standardized contracts for specialized weather related risks is growing at an increasing rate. The purpose of this paper is to examine the potential use of weather derivatives to hedge against temperature related risks in Canadian ice wine production. Specifically we examine historical data for the Niagara region of the province of Ontario, Canada, the largest icewine producing region of the world, to determine an appropriate underlying variable for the design of an option contact that could be employed by icewine producers. Employing monte carlo simulation we derive a range of benchmark option values based upon varying assumptions regarding the stochastic process for an underlying temperature variable. The results show that such option contracts can provide valuable hedging opportunities for producers, given the historical seasonal temperature variations in the region.
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| Tipo: |
Working or Discussion Paper
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/37298
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| Relação: |
American Association of Wine Economists>Working Papers
AAWE Working Papers
5
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| Formato: |
21
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