Hedging late frost risk with American binary options: An application to grape cultivation in Argentina

Autores
Cortina, Elsa Aurora; Sánchez, Ignacio
Año de publicación
2012
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
The purpose of this paper is to model and to value a temperature derivative to hedge late frost risk in grape cultivation. Starting from historical data, we propose a continuous stochastic model to describe the minimum temperature behavior. We define an American binary option to hedge late frost risk, and present a numerical application to grape cultivation.
Fil: Cortina, Elsa Aurora. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Argentino de Matemática Alberto Calderon; Argentina
Fil: Sánchez, Ignacio. Universidad de San Andres; Argentina
Materia
WEATHER DERIVATIVES
LATE FROST RISK
VITICULTURE
AMERICAN OPTIONS
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/18927
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Hedging late frost risk with American binary options: An application to grape cultivation in ArgentinaCortina, Elsa AuroraSánchez, IgnacioWEATHER DERIVATIVESLATE FROST RISKVITICULTUREAMERICAN OPTIONShttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5The purpose of this paper is to model and to value a temperature derivative to hedge late frost risk in grape cultivation. Starting from historical data, we propose a continuous stochastic model to describe the minimum temperature behavior. We define an American binary option to hedge late frost risk, and present a numerical application to grape cultivation.Fil: Cortina, Elsa Aurora. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Argentino de Matemática Alberto Calderon; ArgentinaFil: Sánchez, Ignacio. Universidad de San Andres; ArgentinaInstituto Argentino de Matemáticas2012-11info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/18927Cortina, Elsa Aurora; Sánchez, Ignacio; Hedging late frost risk with American binary options: An application to grape cultivation in Argentina; Instituto Argentino de Matemáticas; Trabajos de Matemática; 2011; 438; 11-2012; 1-160325-6677CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://www.iam-conicet.gov.ar/wp-content/uploads/2013/01/438.pdfinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-15T14:49:51Zoai:ri.conicet.gov.ar:11336/18927instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-15 14:49:51.751CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
title Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
spellingShingle Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
Cortina, Elsa Aurora
WEATHER DERIVATIVES
LATE FROST RISK
VITICULTURE
AMERICAN OPTIONS
title_short Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
title_full Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
title_fullStr Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
title_full_unstemmed Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
title_sort Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
dc.creator.none.fl_str_mv Cortina, Elsa Aurora
Sánchez, Ignacio
author Cortina, Elsa Aurora
author_facet Cortina, Elsa Aurora
Sánchez, Ignacio
author_role author
author2 Sánchez, Ignacio
author2_role author
dc.subject.none.fl_str_mv WEATHER DERIVATIVES
LATE FROST RISK
VITICULTURE
AMERICAN OPTIONS
topic WEATHER DERIVATIVES
LATE FROST RISK
VITICULTURE
AMERICAN OPTIONS
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv The purpose of this paper is to model and to value a temperature derivative to hedge late frost risk in grape cultivation. Starting from historical data, we propose a continuous stochastic model to describe the minimum temperature behavior. We define an American binary option to hedge late frost risk, and present a numerical application to grape cultivation.
Fil: Cortina, Elsa Aurora. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Argentino de Matemática Alberto Calderon; Argentina
Fil: Sánchez, Ignacio. Universidad de San Andres; Argentina
description The purpose of this paper is to model and to value a temperature derivative to hedge late frost risk in grape cultivation. Starting from historical data, we propose a continuous stochastic model to describe the minimum temperature behavior. We define an American binary option to hedge late frost risk, and present a numerical application to grape cultivation.
publishDate 2012
dc.date.none.fl_str_mv 2012-11
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/18927
Cortina, Elsa Aurora; Sánchez, Ignacio; Hedging late frost risk with American binary options: An application to grape cultivation in Argentina; Instituto Argentino de Matemáticas; Trabajos de Matemática; 2011; 438; 11-2012; 1-16
0325-6677
CONICET Digital
CONICET
url http://hdl.handle.net/11336/18927
identifier_str_mv Cortina, Elsa Aurora; Sánchez, Ignacio; Hedging late frost risk with American binary options: An application to grape cultivation in Argentina; Instituto Argentino de Matemáticas; Trabajos de Matemática; 2011; 438; 11-2012; 1-16
0325-6677
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://www.iam-conicet.gov.ar/wp-content/uploads/2013/01/438.pdf
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Instituto Argentino de Matemáticas
publisher.none.fl_str_mv Instituto Argentino de Matemáticas
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.221938

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