A pricing model for yield contracts

dc.contributor.author	Aase, Knut K.
dc.date.accessioned	2006-07-16T17:10:40Z
dc.date.available	2006-07-16T17:10:40Z
dc.date.issued	2002
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/163813
dc.description	Revised version - September 2002 Original title: Area Yield Futures and Options	en
dc.description.abstract	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 options markets for quantum, and combine these with a similar market for future contracts on price, in order to hedge revenue. An example of contingent claims on quantum is given by area yield futures and options traded at the CBoT.	en
dc.format.extent	513055 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	1999:4	en
dc.subject	area yield options	en
dc.subject	futures	en
dc.subject	quantity and price hedging	en
dc.title	A pricing model for yield contracts	en
dc.type	Working paper	en