THE DESIGN AND PRICING OF FIXED AND MOVING WINDOW CONTRACTS: AN APPLICATION OF ASIAN-BASKET OPTION PRICING METHODS TO THE HOG FINISHING SECTOR

Asian-Basket type moving window contracts are an increasingly used risk management tool in US hog sector. The moving window contract is decomposed into a portfolio of a long Asian-Basket put and a short Asian-Basket call option. A projected breakeven price is used to determine the floor price, and then Monte Carlo simulation methods are used to price both a moving and a fixed window contract. These methods provide unbiased pricing of fixed and moving window hog finishing contracts of one-year duration.


Issue Date:
2002
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/19823
Total Pages:
28
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-04-26

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)