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Risk reduction in maize production using weather put option

Todor Marković orcid id orcid.org/0000-0002-2188-9713 ; Faculty of Agriculture, University of Novi Sad, Trg Dositeja Obradovića 8, Novi Sad, Serbia
Aleksandra Martinovska Stojčeska ; Faculty of Agricultural Sciences, University “Sv. Kiril i Metodij” of Skopje, Bulevar Aleksandar Makedonski bb, Skopje, Macedonia
Sanjin Ivanović ; Faculty of Agriculture, University of Belgrade, Nemanjina 6, Belgrade, Serbia


Puni tekst: engleski pdf 381 Kb

preuzimanja: 376

citiraj


Sažetak

The aim of this paper is to provide the basic theoretical assumptions about the weather derivatives and to quantify the risk reducing effect of rainfall put-options by applying a stochastic simulation. For this simulation we analyzed the yield data obtained from the maize producing farm located in the central part of Srem (Serbia). A nearby weather station contributed the meteorological data. To attain this goal, we analyze and compare three cases: Revenue without put-option, revenue with put-option, with basis risk and revenue with put-option, without basis risk. In comparison with having no rainfall put-option, the farmer can hedge 10.000 RSD ha-1 with the put-option, considering the basis risk, and even 20.000 RSD ha-1 when not considering basis risk. Consequently the hedging efficiency of the rainfall put-option is substantial in our example.

Ključne riječi

basis risk of production; maize; geographical basis risk; revenue; weather put option

Hrčak ID:

109557

URI

https://hrcak.srce.hr/109557

Datum izdavanja:

2.9.2013.

Podaci na drugim jezicima: hrvatski

Posjeta: 988 *