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A Comparative Evaluation of Cash Flow and Batch Profit Hedging Effectiveness in Commodity Processing
Dahlgran, Roger A. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2006
Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch profits as an operating objective. This paper...
Persistent link: https://www.econbiz.de/10005804787
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EVALUATION OF HEDGING IN THE PRESENCE OF CROP INSURANCE AND GOVERNMENT LOAN PROGRAMS
Zuniga, Manuel; Coble, Keith H.; Heifner, Richard G. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2001
This research evaluates the interaction of new alternative insurance designs, forward pricing tools and the government revenue protection program while assuming a government loan program is in place. A numerical analysis is conducted using a revenue simulation model that incorporates futures...
Persistent link: https://www.econbiz.de/10005805807
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The Role of the Bid-Ask Spread in a Dynamic - Time-Varying Optimal Hedging Model
Haigh, Michael S. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2001
This paper presents a manageable and effective way of nesting two popular, yet distinct approaches to obtain optimal hedging ratios - time-series econometrics (GARCH) and dynamic programming (DP). The nested DP-GARCH model is then compared to a DP-GARCH model that accounts for variability in the...
Persistent link: https://www.econbiz.de/10005805808
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Modeling Farmers' Use of Market Advisory Services
Pennings, Joost M.E.; Irwin, Scott H.; Good, Darrel L. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2001
In an effort to improve marketing of their products, many farmers use market advisory services (MAS). To date, there is … their marketing plans, and how they choose among these services. Based on the literature on consulting services usage, a … the match between the MAS and the farmer's marketing philosophy drive MAS usage. To account for possible heterogeneity …
Persistent link: https://www.econbiz.de/10005805809
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Factors Affecting Hedging Decisions Using Evidence from the Cotton Industry
Isengildina, Olga; Hudson, Darren - NCR-134 Conference on Applied Commodity Price Analysis, … - 2001
study seeks to analyze producer hedging behavior within the framework of the overall marketing behavior. Producer marketing … behavior is modeled as a simultaneous choice between cash sales, cooperative marketing and forward contracts, and hedging. A … (direct hedging vs. cooperative marketing and forward contracts). …
Persistent link: https://www.econbiz.de/10005805810
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A USER'S GUIDE TO UNDERSTANDING BASIS AND BASIS BEHAVIOR IN MULTIPLE COMPONENT FEDERAL ORDER MILK MARKETS
Thraen, Cameron S. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002
What are the general ideas behind a futures contract price and the concept of the Basis calculation? The Class 3 milk futures contract traded at the Chicago Mercantile present opportunities for you to forward price your milk if your milk is pooled in a multiple component market such as Federal...
Persistent link: https://www.econbiz.de/10005807433
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THE INFORMATION CONTENT OF IMPLIED VOLATILITY FROM OPTIONS ON AGRICULTURAL FUTURES CONTRACTS
Manfredo, Mark R.; Sanders, Dwight R. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002
Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied volatility is known to provide a readily...
Persistent link: https://www.econbiz.de/10005807434
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PRICING AND HEDGING EUROPEAN OPTIONS ON FUTURES SPREADS USING THE BACHELIER SPREAD OPTION MODEL
Schaefer, Matthew P. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002
The Bachelier model for pricing options on futures spreads (OFS) assumes changes in the underlying .futures prices and spread follow unrestricted arithmetic Brownian motion (UABM). The assumption of UABM allows for a convenient analytic solution for the price of an OFS. The same is not possible...
Persistent link: https://www.econbiz.de/10005807435
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ACTUAL FARMER MARKET TIMING
Brorsen, B. Wade; Anderson, Kim B. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002
the market. Thus, there does not seem to be a great need for producers to hire a market advisor to do their marketing for …
Persistent link: https://www.econbiz.de/10005807438
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OPTION PRICING ON RENEWABLE COMMODITY MARKETS
Lence, Sergio H.; Hayes, Dermot J. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002
Practitioners Abstract: The paper motivates and proposes a closed form option pricing model for markets such as grains or livestock where the price level can be expected to revert to expected production costs. The model suggests that traditional option pricing models will overprice long term...
Persistent link: https://www.econbiz.de/10005807439