Consulta: subjectFacets:"Options"
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Data/hora: 06/06/2024 02:43:46

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
Provedor de dados: 31
Autores: Brittain,   Lee; Garcia,   Philip; Irwin,   Scott H.
The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most prominent in live cattle. While significant returns exist holding several market positions, most strategies are strongly affected by a drift in futures market prices. However, the returns from selling live cattle puts are persistent, and evidence from straddle returns identifies that the market overprices volatility. This overpricing is consistent with a short-term risk premium whose effect is magnified by extreme changes in market conditions.
Tipo: Conference Paper or Presentation
Palavras-chave: Live cattle; Feeder cattle; Options; Returns; Risk; Volatility forecasting; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Research Methods/ Statistical Methods.
Ano: 2009
URL: http://purl.umn.edu/53038

HEDGING WITH FUTURES AND OPTIONS UNDER A TRUNCATED CASH PRICE DISTRIBUTION
Provedor de dados: 31
Autores: Hanson,   Steven D.; Myers,   Robert J.; Hilker,   James H.
Many agricultural producers face cash price distributions that are effectively truncated at a lower limit through participation in farm programs designed to support farm prices and incomes. For example, the 1996 Federal Agricultural Improvement Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan rate, while allowing market prices to freely equilibrate supply and demand. This paper studies the effects of truncated cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and options trading rules under...
Tipo: Journal Article
Palavras-chave: Farm programs; Futures; Hedging; Options; Truncation; Marketing.
Ano: 1999
URL: http://purl.umn.edu/15152

DO PROFITABLE GRAIN MARKETING STRATEGIES EXIST FOR KANSAS CROPS?
Provedor de dados: 31
Autores: O'Brien,   Daniel M.
The issue of whether profitable preharvest and postharvest marketing strategies exist relative to harvest sales for Kansas crops for the 1985-1998 marketing years is addressed. Practical application of market efficiency concepts is discussed. Nonharvest wheat marketing strategies offered less opportunity relative to harvest sales than for feedgrains and especially soybeans.
Tipo: Conference Paper or Presentation
Palavras-chave: Grain marketing; Efficient markets; Futures; Options; Marketing strategies; Crop Production/Industries; Marketing.
Ano: 2000
URL: http://purl.umn.edu/21758

A Comparison of the Effectiveness of Using Futures, Options, LRP Insurance, or AGR-Lite Insurance to Manage Risk for Cow-calf Producers
Provedor de dados: 31
Autores: Feuz,   Dillon M.
A comparative analysis was performed looking at using cash, futures, options, or insurance to manage the price of calves for cow-calf producer. Risk can be reduced with the futures market and with options or LRP insurance. Options and LRP insurance are equivalent in the amount of risk that is reduced. AGR-Lite does not appear to be an effective policy at reducing risk for cow-calf producers.
Tipo: Conference Paper or Presentation
Palavras-chave: Cow-calf risk; Feeder cattle futures; Options; LRP Feeder Cattle; AGR-Lite; Agribusiness; Agricultural Finance; Demand and Price Analysis; Farm Management; Financial Economics; Livestock Production/Industries; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/53046

Liquidity Costs in Futures Options Markets
Provedor de dados: 31
Autores: Shah,   Samarth; Brorsen,   B. Wade; Anderson,   Kim B.
The major finding is that liquidity costs in futures options market are two to three times higher than liquidity costs in the futures market. Liquidity cost is one potential factor to consider when choosing between hedging with a futures contract or with an option contract. While there is considerable research that estimates liquidity costs of futures trading, there is little comparable research about options markets. This study, for the first time, attempts to determine and compare liquidity costs in options and futures markets. The study uses July 2007 wheat futures and options contracts traded on Kansas City Board of Trade. Two measures of liquidity costs were used for both options and futures markets. One measure of liquidity costs in options markets...
Tipo: Conference Paper or Presentation
Palavras-chave: Bid-ask spread; Black model; KCBT; Liquidity costs; Options; Agribusiness; Agricultural Finance; Financial Economics; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/53047

Livestock Revenue Insurance
Provedor de dados: 31
Autores: Hart,   Chad E.; Babcock,   Bruce A.; Hayes,   Dermot J.
This study outlines several possible structures for livestock revenue insurance. The policies take the form of an exotic option—an Asian basket option. The actuarially fair premiums for these policies are equal to the prices of the options they represent. Due to the complexity of pricing Asian basket options, we have combined two techniques for pricing options to reach the actuarially fair premiums. Projected premiums, producer welfare, and program efficiency are evaluated for the insurance products and existing market tools. Using efficiency ratios and certainty equivalent returns, we compare the insurance policies to strategies involving existing futures and options.
Tipo: Working or Discussion Paper
Palavras-chave: Insurance; Livestock; Revenue; Options; Asian basket option; Premiums; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2000
URL: http://purl.umn.edu/18356

HEDGING WITH FUTURES AND OPTIONS: A DEMAND SYSTEMS APPROACH
Provedor de dados: 31
Autores: Frechette,   Darren L.
The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero.  Futures and options are treated as substitute goods, and properties of the resulting hedging demand system are explained. The overall optimal hedge ratio is shown to increase when the marginal cost of trading options is reduced. The overall optimal hedge ratio is shown to decrease when the marginal cost of trading futures is decreased. The implication is that hedging demand can be stimulated by reducing the perceived cost of trading options, by educating hedgers about options and by initiating programs like the Dairy Options Pilot Program. The demand systems approach is  applied to estimate optimal...
Tipo: Conference Paper or Presentation
Palavras-chave: Hedging; Options; Futures; Marketing.
Ano: 2000
URL: http://purl.umn.edu/18941

Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Water Spot Market
Provedor de dados: 31
Autores: Williamson,   Brendon; Villano,   Renato A.; Fleming,   Euan M.
With the current drought in South-Eastern Australia highlighting the scarcity and value of inland Australia’s water resources, focus turns to how these resources can be allocated more efficiently. The first major step was taken almost a decade ago with the separation of land and water property rights allowing openly traded water markets. This study assesses the potential economic benefits that options contracts bring to the water market in the Murray Valley water market. Exotic call options are estimated using both Black-Scholes and skewness-and-kurtosis-amended Black-Scholes financial option pricing methods that are based on three years of data on water prices. While the presence of options would result in significant economic benefits in the more...
Tipo: Conference Paper or Presentation
Palavras-chave: Options; Skewness-and-kurtosis-amended Black-Scholes model; Water; Environmental Economics and Policy; Financial Economics; Research Methods/ Statistical Methods; Resource /Energy Economics and Policy.
Ano: 2008
URL: http://purl.umn.edu/5992

Market Risk and Volatility in the Brazilian Stock Market
Provedor de dados: 31
Autores: Yoshino,   Joe Akira.
We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock market. The fundamental theory to handle this problem is the one implied by the Arrow-Debreu contingent claim concept. Using that theory, we are able to construct the term structure of market risk, and to obtain a surface that provides slices for a particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample of option prices. This methodology goes beyond the one proposed originally by Black and Scholes (1973), since it does not require log-normality of the...
Tipo: Journal Article
Palavras-chave: Arrow-Debreu contingent claim; Options; Black-Scholes; Market risk; Volatility; Brazilian stock market; Risk and Uncertainty; Marketing; G12; G13.
Ano: 2003
URL: http://purl.umn.edu/44000

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
Provedor de dados: 31
Autores: Brittain,   Lee; Garcia,   Philip; Irwin,   Scott H.
This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. Implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most pronounced in live cattle. While significant returns exist from several positions, strategies are strongly affected by drifts in futures prices. However, returns from live cattle puts are persistent, and evidence from 30-day straddle returns indicates the live cattle market overprices volatility. Overpricing is consistent with volatility risk, the effect of which is magnified by extreme market conditions.
Tipo: Journal Article
Palavras-chave: Feeder cattle; Live cattle; Options; Returns; Risk; Volatility forecasting; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2011
URL: http://purl.umn.edu/105515

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
Provedor de dados: 31
Autores: Egelkraut,   Thorsten M.; Garcia,   Philip.
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk.
Tipo: Journal Article
Palavras-chave: Agricultural commodity; Efficiency; Forecasts; Implied forward volatility; Options; Marketing.
Ano: 2006
URL: http://purl.umn.edu/8637

STOCHASTIC EFFICIENCY ANALYSIS OF ALTERNATIVE BASIC MAIZE MARKETING STRATEGIES
Provedor de dados: 31
Autores: Strydom,   D.B.; Grove,   Bennie; Kruger,   Y.; Willemse,   B.J.
The use of modern marketing strategies to minimize risk exposure is not a widely adopted practice under maize producers. The producers tend to use high risk strategies which include the selling of the crop on the cash market after harvested; while the current market requires innovative strategies including the use of Futures and Options as traded on SAFEX. However, due to a lack of interest and knowledge of producers understanding of modern, complicated strategies the study illustrates by using a SERF and CDF that the use of three basic strategies namely a Put-, Twelve-segment-, Three-segment- can be more rewarding. These strategies can be adopted by farmers without an in-depth understanding of the market and market-signals. The results obtained from the...
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing strategies; Futures; Options; SERF; Crop Production/Industries; Marketing.
Ano: 2010
URL: http://purl.umn.edu/96812

STRATEGIC USE OF FUTURES AND OPTIONS BY COMMODITY PROCESSORS
Provedor de dados: 31
Autores: Bullock,   David W.; Wilson,   William W.; Dahl,   Bruce L.
In this study, the strategic impacts of input-output price relationships on end-users' demands for futures and/or options are analyzed.  An analytical model is developed based on mean-variance utility and extended to account for the impact of output prices and the inclusion of both futures and/or call options in the portfolio.  This study makes several contributions to the literature on risk management in agriculture.  First, its focus is on end-users and captures their unique characteristics.  Second, it explicitly captures the correlation between input-output prices on hedging strategies.  Finally, it incorporates options into a portfolio model.  The analytic model was applied to the bread baking industry, an important agribusiness processor, which is...
Tipo: Working or Discussion Paper
Palavras-chave: Futures; Options; Risk Management; Processors; Hedging; Marketing.
Ano: 2003
URL: http://purl.umn.edu/23628

The Trade-Off Between Liquidity and Precision of Position in Option Contracts
Provedor de dados: 31
Autores: Koch,   Alexander K.; Lazarov,   Zdravetz.
More liquid financial contracts are claimed to draw trading volume from contracts for which they are close substitutes. We provide the first analysis of how trading volume across existing financial contracts is affected by changes in the factors that govern the degree to which they are substitutes. Using data on DAX options with different strike prices, we identify these factors and their impact on the distribution of trades across contracts. The results are relevant for exchange design since they help gauge when options with different strike prices are good (bad) substitutes and the strike price grid should be coarse (fine).
Tipo: Journal Article
Palavras-chave: Clustering; Exchange Design; Options; Risk and Uncertainty; G10; G20; L15.
Ano: 2007
URL: http://purl.umn.edu/50155

Mitigating Cotton Revenue Risk Through Irrigation, Insurance, and Hedging
Provedor de dados: 31
Autores: Barham,   E. Hart Bise; Robinson,   John R.C.; Richardson,   James W.; Rister,   M. Edward.
This study focuses on managing cotton production and marketing risks using combinations of irrigation levels, put options (as price insurance), and crop insurance. Stochastic cotton yields and prices are used to simulate a whole-farm financial statement for a 1,000 acre furrow irrigated cotton farm in the Texas Lower Rio Grande Valley under 16 combinations of risk management strategies. Analyses for risk-averse decision makers indicate that multiple irrigations are preferred. The benefits to purchasing put options increase with yields, as they are more beneficial when higher yields are expected from applying more irrigation applications. Crop insurance is strongly preferred at lower irrigation levels.
Tipo: Journal Article
Palavras-chave: Cotton; Crop insurance; Irrigation; Options; Puts; Risk; Simulation; Stochastic efficiency with respect to a function; Farm Management; Risk and Uncertainty; D81; Q12; Q15.
Ano: 2011
URL: http://purl.umn.edu/117946

BIDDING ON RAILCARS FOR GRAIN: A STRATEGIC ANALYSIS
Provedor de dados: 31
Autores: Wilson,   William W.; Dahl,   Bruce L.
Many of the U.S. railroads have introduced highly differentiated services for grain shipments in recent years, generally in the area of forward guaranteed car service.  Taken together with other alternatives, these mechanisms have had the effect of establishing priority allocations among shippers.  In most cases, pricing and allocation of these services has been with some type of bidding mechanisms.  This paper explores the economic implications of these mechanisms on the grain shipping industry.  A model was developed to identify factors affecting the value of these services and was analyzed in the context of a typical midwestern grain shipment.  A game theory model of competitive bidding was also developed to analyze the effects of critical strategic...
Tipo: Working or Discussion Paper
Palavras-chave: Railcars; Guaranteed car service; Railcar allocation; Options; Guarantee; Bidding models; Valuation; Marketing.
Ano: 1997
URL: http://purl.umn.edu/23168

The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression
Provedor de dados: 31
Autores: Mattos,   Fabio; Garcia,   Philip.
This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets using a quantile regression framework. Analysis of trading records of 12 traders suggests that there is great heterogeneity in individual trading behavior. Traders respond differently to prior profits depending on how much risk their portfolios are carrying. In general, no significant response is found at average and below-average levels of risk, but response can become large and significant at above-average levels of risk. These results are consistent with studies which argued that behavior may be uneven under different circumstances, and calls into question the adoption of conditional mean framework to investigate trading behavior. Focusing the...
Tipo: Conference Paper or Presentation
Palavras-chave: Loss aversion; House-money effect; Quantile regression; Futures; Options; Agribusiness; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009
URL: http://purl.umn.edu/53035

Executive Compensation: Facts
Provedor de dados: 31
Autores: Clementi,   Gian Luca; Cooley,   Thomas.
In this paper we describe the important features of executive compensation in the US from 1993 to 2006. Some confirm what has been found for earlier periods and some are novel. Notable facts are that: the compensation distribution is highly skewed; each year, a sizeable fraction of chief executives lose money; the use of security grants has increased over time; the income accruing to CEOs from the sale of stock increased; regardless of the measure we adopt, compensation responds strongly to innovations in shareholder wealth; measured as dollar changes in compensation, incentives have strengthened over time, measured as percentage changes in wealth, they have not changed in any appreciable way.
Tipo: Working or Discussion Paper
Palavras-chave: CEO; Pay–Performance Sensitivity; Stock; Options; Financial Economics; G34; J33; M52.
Ano: 2010
URL: http://purl.umn.edu/92834

Dynamic Decision Making in Agricultural Futures and Options Markets
Provedor de dados: 31
Autores: Mattos,   Fabio; Garcia,   Philip; Pennings,   Joost M.E.
This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets. Analysis of trading records of 12 traders identified considerable heterogeneity in individual dynamic trading behavior. Using risk measures derived from the deltas and vegas of trader’s portfolios, we find nearly half the traders behavior is consistent with a house-money effect and the other half with loss aversion. These findings correspond closely to expected behavior inferred from elicited utility and probability weighting functions. The results call into question more aggregate findings that discount probability weighting to develop risk measures which support the notion of more uniform, less heterogeneous, behavior. Understanding behavior in...
Tipo: Conference Paper or Presentation
Palavras-chave: Loss aversion; House-money effect; Futures; Options; Agricultural Finance.
Ano: 2008
URL: http://purl.umn.edu/37605

VALUE AT RISK: AGRICULTURAL PROCESSOR PROCUREMENT AND HEDGING STRATEGIES
Provedor de dados: 31
Autores: Hawes,   Cullen R.; Wilson,   William W.; Dahl,   Bruce L.
Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations.  The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to quantify price risk exposure.  By reporting price risk in terms of dollars as a single summary statistic, VaR provides a more intuitive measure of risk for decision makers, especially when the distribution of portfolio value changes is non-normal.  VaR also separates downside from upside potential by focusing on the left-hand tail of a portfolio's distribution of returns.  The purpose of this study is to demonstrate how VaR can be applied to the portfolio of a...
Tipo: Working or Discussion Paper
Palavras-chave: Value at Risk; Hedging; Processor Futures; Options; Marketing; Risk and Uncertainty.
Ano: 2005
URL: http://purl.umn.edu/23608