THE DESIGN AND PRICING OF FIXED AND MOVING WINDOW CONTRACTS: AN APPLICATION OF ASIAN-BASKET OPTION PRICING METHODS TO THE HOG FINISHING SECTOR

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dc.creatorShao, Renyuan
dc.creatorRoe, Brian E.
dc.date2017-04-01T17:11:25Z
dc.date.accessioned2026-07-09T03:29:09Z
dc.descriptionAsian-Basket type moving window contracts are an increasingly used risk management tool in US 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 breakeven 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 one-year duration.
dc.identifierdoi:10.22004/ag.econ.19823
dc.identifierhttps://ageconsearch.umn.edu/record/19823/files/sp02sh05.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/19823
dc.identifier.urihttp://hdl.handle.net/123456789/533353
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/19823
dc.titleTHE DESIGN AND PRICING OF FIXED AND MOVING WINDOW CONTRACTS: AN APPLICATION OF ASIAN-BASKET OPTION PRICING METHODS TO THE HOG FINISHING SECTOR
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