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Registros recuperados: 20 | |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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Registros recuperados: 20 | |
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