IDEAS home Printed from https://ideas.repec.org/p/ags/nc8191/285661.html
   My bibliography  Save this paper

Options Portfolios in the Presence of Non-Linear Risk

Author

Listed:
  • McNew, Kevin

Abstract

Options on futures give hedgers a way to construct a risk management portfolio which has similar properties to the risk they face in the cash market. Of particular importance is the benefit that options provide when the cash position value is non-linearly related to the futures price. Such a situation is particularly prevalent for grain producers who face random cash prices and output. This study presents two methods for constructing an options portfolio composed of different strike prices. An empirical application for regional corn production in the U.S. demonstrates that both methods are similar in terms of risk reduction and, in some instances, provided significant improvements from using futures.

Suggested Citation

Handle: RePEc:ags:nc8191:285661
DOI: 10.22004/ag.econ.285661
as

Download full text from publisher

File URL: https://ageconsearch.umn.edu/record/285661/files/confp1-96.pdf
Download Restriction: no
File URL: https://libkey.io/10.22004/ag.econ.285661?utm_source=ideas
LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
---><---

More about this item

Keywords

;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:nc8191:285661. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.farmdoc.illinois.edu/nccc134/ .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.