Price risk management in the wheat market using option strategies
| Autor: | Martina Bobriková |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
2019-20 coronavirus outbreak
050208 finance Financial economics Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) agricultural market 05 social sciences volatility 050301 education option strategies Agriculture General Medicine Price risk Commodity market vanilla option price risk management 0502 economics and business Economics Profitability index Volatility (finance) 0503 education Futures contract Agribusiness |
| Zdroj: | Ekonomika Poljoprivrede (1979), Vol 68, Iss 2, Pp 449-461 (2021) |
| ISSN: | 2334-8453 0352-3462 |
| Popis: | Recently, the agricultural business is displayed a greater amount of risk because of price volatility growth. Consequently, it is necessary to have knowledge of how to regulate the risk of price fluctuations. This paper is concerned with the hedging techniques in the commodity market by the help of vanilla options. The main idea is to analyze option strategies with the ambition to demonstrate their utilization by hedging against increasing prices. Hedged buying price formulas are derived for every spot futures price. An additional contribution is considered for applying in the wheat trading. Chicago Mercantile Exchange products, i.e. wheat options on futures are investigated. The profitability of hedged scenarios is examined. A comparative analysis of the designed hedging variants is presented. Suggestions for potential wheat buyers are proposed. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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