AGRICULTURAL FINANCE REVENUE FUTURES CONTRACT

Martial V. Guinvarc'h (), Jacques Janssen () and Jean Cordier
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Jacques Janssen: CESIAS, Bd Paul Janson, N°84, BP 9, B6000 Charleroi, Belgium

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 02, 85-99

Abstract: To respond to financial compound risk of farmers, two multiplicative derivative contracts, called respectively revenue futures contract and revenue put option, are proposed. The paper presents the theoretical management strategy of such a contract under the constraint that price and crop yield futures contracts are quoted.A financial intermediary can thus develop a risk-free management strategy to build a revenue futures contract. This paper opens perspectives on risk management for farmers, on completeness of markets and on new financial intermediation.

Keywords: Futures contract; revenue or income risk; replicating portfolio (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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Working Paper: AGRICULTURAL FINANCE REVENUE FUTURES CONTRACT (2004)
Working Paper: Agricultural finance revenue futures contract (2004)
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DOI: 10.1142/S0219024904002372

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