Design, pricing, and returns of short-term hog marketing window contracts

The design and pricing of fixed- and mov

The design and pricing of fixed- and moving-window contracts: An application of Asian-Basket option pricing methods to the hog-finishing sector

✍ Renyuan Shao; Brian Roe 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 211 KB 👁 1 views

## Abstract Asian‐Basket‐type moving‐window contracts are an increasingly used risk‐management tool in the North American 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 break‐even price is used to de