Data/hora: 05/06/2024 07:30:46

Provedor de dados: | 31
País: | United States
Título: | HEDGING WITH FUTURES AND OPTIONS UNDER A TRUNCATED CASH PRICE DISTRIBUTION
Autores: | Hanson,   Steven D.; Myers,   Robert J.; Hilker,   James H.
Data: | 2003-02-13
Ano: | 1999
Palavras-chave: | Farm programs; Futures; Hedging; Options; Truncation; Marketing.
Resumo: | 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 options as well as futures. We derive optimal futures and options trading rules under a range of different truncation scenarios. Empirical results highlights the impacts of basis risk and yield risk on the optimal futures and options portfolio.
Tipo: | Journal Article
Idioma: | Inglês

Identificador:

7198

http://purl.umn.edu/15152

Editor: | AgEcon Search
Relação: | Journal of Agricultural and Applied Economics&gt;Volume 31, Number 03, December 1999

Formato:

11

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