Agricultural Production Decision using Jumps and Seasonal Volatility in commodities prices dynamics

Zoulkiflou Moumouni and Jules Sadefo-Kamdem
Additional contact information
Zoulkiflou Moumouni: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Jules Sadefo-Kamdem: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

Working Papers from HAL

Abstract: We use agricultural commodities futures prices to investigate decision making in production when futures prices are governed by jump-diffusion process with seasonal volatility. We derive a preference independent production rule for firms that face both demand and production uncertainty. We compare this rule to the one when only Brownian motion represents the source of risk with constant volatility. Our analysis suggests that for most crops, the jump-diffusion model is sufficiently accurate to guide production decision.

Keywords: Production decision; futures markets; jump-diffusion; incomplete markets; options pricing; seasonal volatility; agricultural commodities; seasonal volatility JEL Codes: C12; C58; D52; G13; Q11; Q14 (search for similar items in EconPapers)
Date: 2020-01-24
Note: View the original document on HAL open archive server: https://hal.umontpellier.fr/hal-02465046
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.umontpellier.fr/hal-02465046/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-02465046

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().