Area yield futures and options : risk management and hedging

dc.contributor.author	Aase, Knut K.
dc.date.accessioned	2006-07-13T18:01:01Z
dc.date.available	2006-07-13T18:01:01Z
dc.date.issued	2001
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/163629
dc.description	Revised version - September 2002. Original title: Area Yield Futures and Options: Risk management, and a pricing model for yield contracts	en
dc.description.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.	en
dc.format.extent	298855 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng	en
dc.publisher	Norwegian School of Economics and Business Administration. Department of Finance and Management Science	en
dc.relation.ispartofseries	Discussion paper	en
dc.relation.ispartofseries	2001:5	en
dc.subject	area yield options	en
dc.subject	futures	en
dc.subject	continuous time modeling	en
dc.subject	quantity and price securing	en
dc.subject	locking in a certain revenue	en
dc.subject	CBOT yield contracts	en
dc.title	Area yield futures and options : risk management and hedging	en
dc.type	Working paper	en