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Registros recuperados: 45 | |
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Musshoff, Oliver; Odening, Martin; Xu, Wei. |
Es ist seit langem bekannt, dass das Wetter den Hauptunsicherheitsfaktor in der pflanzlichen Produktion darstellt. Seit einiger Zeit wird der Einsatz von Wetterderivaten zur Absicherung gegen wetterbedingte Ertragsschwankungen diskutiert. In diesem Beitrag wird am Beispiel ei-nes getreideproduzierenden Betriebes in Brandenburg unter Verwendung von realen Ertrags- und Wetterdaten mit Hilfe einer stochastischen Simulation die risikomindernde Wirkung quan-tifiziert, die durch den Einsatz von Niederschlagsoptionen erzielt werden kann. Dabei wird die Hedging-Effektivität durch das Kontraktdesign (Index, Strike-Preis, Tick-Size) gesteuert. Das Basisrisiko der Produktion und das geografische Basisrisiko verbleiben jedoch in jedem Fall beim Landwirt. Ziel ist es,... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
Ano: 2006 |
URL: http://purl.umn.edu/14947 |
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Musshoff, Oliver; Hirschauer, Norbert. |
Agricultural production relies to a great extent on biological processes in natural environments. In addition to volatile prices, it is thus heavily exposed to risks caused by the variability of natural conditions such as rainfall, temperature and pests. With a view to the apparently lacking support of risky farm production program decisions through formal planning models, the objective of this paper is to examine whether, and eventually by how much, farmers’ “intuitive” program decisions can be improved through formal statistical analyses and stochastic optimization models. In this performance comparison, we use the results of the formal planning approach that are generated in a quasi ex-ante analysis as a normative benchmark for the empirically observed... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Stochastic optimization; Program planning; Time series analysis; Crop Production/Industries. |
Ano: 2008 |
URL: http://purl.umn.edu/44174 |
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Musshoff, Oliver; Odening, Martin; Xu, Wei. |
In this article we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a de-correlation analysis is proposed to assess the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function, we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are remotely located from the weather station. Another finding is that significant differences... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
Ano: 2006 |
URL: http://purl.umn.edu/21050 |
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Musshoff, Oliver; Hirschauer, Norbert; Palmer, Ken. |
This paper gives an overview of simulation based procedures, which have proved to be efficient in valuing American options and therefore real options. Many of them integrate sequential stochastic simulations in the backward recursive programming approach to determine the early-exercise frontier. They subsequently value the option by initiating a Monte-Carlo simulation from the valuation date of the option. It turns out that one approach (Grant et al., 1997) is especially simple. We are able to enhance its efficiency by stripping it of some time consuming but unnecessary simulation steps. Our simplified approach could be called "Bounded Recursive Stochastic Simulation". |
Tipo: Working or Discussion Paper |
Palavras-chave: Research Methods/ Statistical Methods. |
Ano: 2002 |
URL: http://purl.umn.edu/18823 |
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Registros recuperados: 45 | |
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