effect of foreign exchange risk. In each case, different hedging instruments were considered for use in various hedging … VaR estimates are used to quantify the price risk associated with different hedging strategies. While risk reduction is … the primary reason for hedging, it is not the only aspect that management must consider. Numerous other aspects enter into …

Combinations of futures and options contracts on milk and feed were simulated to determine their influence on a … current marketing procedure of monthly cash milk pricing and monthly feed purchases (and pricing) produces a strong built …

This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets using a …

relatively little research on it. In this paper we show that operational risk represents a fundamental risk to option hedging and … investigate it by proposing a new theoretical model. We derive an exposure indicator for the operational risk of option hedging …-normal distributions (which will be of interest to Statisticians in general). We determine an analytical solution to the price of options …

The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the … marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting … decreased. The implication is that hedging demand can be stimulated by reducing the perceived cost of trading options, by …

Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan … cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price … distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and …