Hedging with Options under Variance Uncertainty: An Illustration of Pricing New‐Crop Soybeans
作者:
Robert J. Hauser,
Dane K. Andersen,
期刊:
American Journal of Agricultural Economics
(WILEY Available online 1987)
卷期:
Volume 69,
issue 1
页码: 38-45
ISSN:0002-9092
年代: 1987
DOI:10.2307/1241304
出版商: Oxford University Press
数据来源: WILEY
摘要:
AbstractThe behavior of a commodity's price‐return variance over time is critical to both the theory and practice of commodity option valuation. In this paper three models are used to forecast soybean price variance for the period during which a seasonal increase in variance has been found in previous studies. A time‐series model outperforms the ordinary least squares and naive models. The significance of the forecast error levels is then examined in terms of expected deviations above and below a price target for a put hedge. The resulting trade‐off between risk and return is shown by strike price and variance expectation.
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