✦ LIBER ✦
The design and pricing of fixed- and moving-window contracts: An application of Asian-Basket option pricing methods to the hog-finishing sector
✍ Scribed by Renyuan Shao; Brian Roe
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 211 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
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 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 1‐year duration. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1047–1073, 2003