Title page for ETD etd-11202012-040227

Type of Document Master's Thesis
Author Rowsell, John
URN etd-11202012-040227
Title Comparative analysis of cash margin hedging strategies with commodity futures contracts and options
Degree Master of Science
Department Agricultural Economics
Advisory Committee
Advisor Name Title
Bainbridge, Bruce B. Committee Member
Kenyon, David E. Committee Member
Purcell, Wayne D. Committee Member
  • Swine
Date of Defense 1987-03-05
Availability restricted

The 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 starit routine fixed margin hedging to strategies based on forecasted variable margins.

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