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Area yield futures and options : risk management and hedging

Aase, Knut K.
Working paper
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URI
http://hdl.handle.net/11250/163629
Date
2001
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  • Discussion papers (FOR) [588]
Abstract
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 yield futures market. Here we develop a set of pricing formulas, some of which are partially tested, using price data for area yield options from the Chicago Board of Trade.
Description
Revised version - September 2002. Original title: Area Yield Futures and Options: Risk management, and a pricing model for yield contracts
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2001:5

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