Theory and Measurement of Exotic Options in U.S. Agricultural Support Programs

Tirupattur, Viswanath; Hauser, Robert J.; Boyle, Phelim P.

doi:10.2307/1244270

Cited by 11 publications

(4 citation statements)

References 15 publications

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“…Respecto al momento de ejercicio de las opciones exóticas, las publicaciones se enfocan tanto en opciones europeas como americanas, sin prevalencia alguna. Considerando la naturaleza del activo subyacente, se identifican publicaciones que estudian la valoración de opciones exóticas sobre activos no financieros, como contratos de suministro (Kamat & Oren, 2002; Zhang, Wang et al, 2005; situaciones de riesgo climático (Cortina & Sánchez, 2013); agricultura (Tirupattur et al, 1997); proyectos ecológicos 255 (Dziawgo, 2017); derechos de uso de la tierra (Lu, 2010). También se resaltan los trabajos de Chen et al (2011) por estudiar mercados emergentes y de García & Sánchez (2015) por analizar las coberturas contra pérdidas en la industria automotriz de Argentina.…”

Section: B Análisis De Contenidounclassified

Opciones exóticas

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El artículo desarrolla un análisis conceptual de la literatura sobre opciones exóticas a partir de dos objetivos específicos: primero, describir los principales conceptos, características y tipos de opciones exóticas; segundo, analizar la evolución de las publicaciones en la temática. Metodológicamente, se efectúa una investigación documental de autores clásicos y una revisión sistemática de la literatura bajo protocolo en las bases de datos bibliográficas Scopus y Web of Science. Las 96 publicaciones obtenidas se someten a análisis bibliométricos y de contenido. Se identifican trabajos publicados mayoritariamente en revistas (72%) entre 2006 y 2015 (64%), en su mayoría sobre valoración de opciones exóticas. Las opciones dependientes de la trayectoria del precio del activo subyacente son las más utilizadas, en especial barrera, lookback y asiáticas. Como contribución teórica, el análisis de la evolución de la literatura representa un cimiento sustancial para futuros estudios pues permite individualizar las publicaciones más relevantes sobre opciones exóticas, detectar brechas en el campo del conocimiento y reconocer temas en auge. A nivel práctico, la mejor comprensión del tema podría derivar en una mayor utilización de instrumentos exóticos.

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Section: B Análisis De Contenidounclassified

Opciones exóticas

et al. 2021

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“…Modifications to the option pricing formula for evaluating agricultural support programs have been undertaken. For instance, Tirupattur et al (1997) derive theoretical models for evaluating options associated with US agricultural support programs in a manner that accounts for the exotic features inherent in the programs.…”

Section: Related Literaturementioning

confidence: 99%

Evaluating Alberta cattle feeders’ loan guarantee program

Twine¹,

Unterschultz

Rude

2016

Agricultural Finance Review

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Purpose – The purpose of this paper is to evaluate Alberta’s cattle loan guarantee program. It measures the risk premiums on lending that would accrue to banks participating in the program, estimates the value (price) of the loan guarantee, and estimates the interest subsidy provided by the program. Design/methodology/approach – A cash flow model of cattle feeding is used. The model estimates a measure of risk that is applied to option pricing models to estimate the value of the guarantee. Findings – Insurance premiums for the credit risk to lenders are 0.20 percent of the value of the loan for the entire feeding period, and 0.41 percent for backgrounding but negligible for finishing. The price of the loan guarantee estimated by the Black-Scholes model is 4.43 percent of the value of the loan and is comparable to prices estimated by the binomial model. The program provides a subsidy rate of 4.58 percent. Research limitations/implications – Charging a guarantee fee can potentially eliminate the interest subsidy inherent in the program. But this would necessitate determining the impact of the guarantee fee on the additional access to credit that has been achieved through the program. Practical implications – Different levels of risk for backgrounding and finishing imply different risk premiums on cattle loans. Therefore interest on cattle loans should reflect not only the individual farmer’s risk profile but also the nature of the feeding operation. Originality/value – This is the first paper to simultaneously estimate risk premiums on cattle feeding loans, the value of the loan guarantee provided by the Alberta Feeder Association Loan Guarantee Program, and the inherent interest subsidy.

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“…Even so in applying Itô's lemma to obtain a revenue option spanning to rid the process of diversifiable risk was assumed. Tirupattur et al (1997), Stokes et al (1997), Stokes (2001) and Richards and Manfredo (2003) also used an Itô-based derivatives approach to investigate revenue insurance. The nuances of applying Itô calculus to agricultural policy is well represented by Stokes et al (1997) to which Yin and Turvey (2003) commented and Stokes and Nayda (2003) replied.…”

Section: Economics and Financementioning

confidence: 99%

Biography

Turvey

2010

Agricultural Finance Review

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Purpose -The purpose of this paper is to review the life of the famous mathematician Kiyosi Itô o : and discuss his influence on the study of agricultural finance and agricultural economics. Design/methodology/approach -This paper is a qualitative historical review. Findings -The paper provides a biographical stretch of Itô o : 's life. It is shown that his influence started to infiltrate the agricultural economics profession at around 1985 and is currently a major influence of a range of economic issues from farm policy to agricultural investments.Research limitations/implications -The biography is limited to a review of Itô o : 's academic life and influence. Practical implications -The paper offers a historical perspective on how probability emerged as a critical piece of the economic puzzle. For scholars and practitioners of agricultural finance, the paper provides an in depth review of how Itô o : processes have, and can, be used. Originality/value -This paper provides a historical perspective on Itô o : that is of use to students and scholars of rural credit. This is the first ''biography'' of Itô o : to discuss his influence on agricultural finance and agricultural economics.

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Theory and Measurement of Exotic Options in U.S. Agricultural Support Programs

Cited by 11 publications

References 15 publications

Opciones exóticas

Opciones exóticas

Evaluating Alberta cattle feeders’ loan guarantee program

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