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	Provedor de dados AgEcon (1) Autor Du, Xiaodong (1) Hennessy, David A. (1) Palavra-chave Cash rent (1) Delta hedging (1) Farm Management (1) Monte Carlo simulation (1) Multivariate GARCH (1) Real option (1) Research Methods/ Statistical Methods (1) Ricardian rent (1) Mais... Tipo do documento Working or Discussion Paper (1) Ano 2008 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última The Planting Real Option in Cash Rent Valuation AgEcon Du, Xiaodong; Hennessy, David A.. After entering into farmland rental contracts in the fall, a tenant farmer has the planting flexibility to choose between corn and soybeans. Failure to account for this switching option will bias estimates of what farmers should pay to rent land. Applying contingent claims analysis methods, this study explicitly derives the real option value function. Comparative statics with respect to the volatilities of underlying state variables and their correlations are derived and discussed. Dynamic hedging deltas in this real option context are also developed. Monte Carlo simulation results show that the average cash rent valuation for the real option approach is 11% higher than that for the conventional net present value (NPV) method. The simulated dynamic hedging... Tipo: Working or Discussion Paper Palavras-chave: Cash rent; Delta hedging; Monte Carlo simulation; Multivariate GARCH; Real option; Ricardian rent; Farm Management; Research Methods/ Statistical Methods. Ano: 2008 URL: http://purl.umn.edu/6307 Registros recuperados: 1 Primeira ... 1 ... Última

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