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Virginia Tech
Comparative analysis of cash margin hedging strategies with commodity futures contracts and options
Abstract
dc:description.abstractThe performance of futures contracts and commodity options as hedging instruments were compared in a cash margin hedging framework for a 150 sow farrow to finish hog operation in southeastern Virginia. The expected cash margin (ECM) using corn soybean meal and hog futures were calculated daily from 1975 through 1982. The performance of options and futures were compared in 530 strategies that ranged from strait routine fixed margin hedging to strategies based on forecasted variable margins.
Degree
thesis:*- Name thesis:degree_name
- Master of Science
- Level thesis:degree_level
- masters
- Discipline thesis:degree_discipline
- Agricultural Economics
- Department dc:contributor.department
- Agricultural Economics
- Grantor dc:publisher
- Virginia Tech
- Year dc:date.issued
- 1987
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Rowsell, John
- Committee members dc:contributor.committeemember
-
- Kenyon, David E.
- Purcell, Wayne D.
- Bainbridge, Bruce B.
Rights
dc:rights- Statement dc:rights
-
- In Copyright
- Licence dc:rights.uri
Identifiers
dc:identifier.*- Dc Identifier Other
- etd-11202012-040227
- OAI identifier oai:identifier
- oai:vtechworks.lib.vt.edu:10919/45914