Blar i Discussion papers (FOR) på emneord "area yield options"
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Area yield futures and options : risk management and hedging
(Discussion paper, Working paper, 2002)Suppose there exists a market for yield futures contracts as well as ordinary futures contracts for price. Intuitively one would think that a combined use of yield contracts and and futures price contracts ought to provide ... -
Area yield futures and options : risk management and hedging
(Discussion paper, Working paper, 2001)It is shown how a farmer can lock in a certain revenue by a combined trade in futures price and futures yield contracts, abstracting from production costs. An economic model is proposed for a combined price futures and ... -
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for the analysis of quantum and revenue hedges, and prices of contingent claims on revenue and quantum are presented and discussed. In particular we discuss how one can use futures, and futures ... -
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is ...