IAM 02674
INSTITUTO ARGENTINO DE MATEMATICA ALBERTO CALDERON
Unidad Ejecutora - UE
artículos
Título:
Hedging late frost risk with American barrier options: An application to grape cultivation in Argentina
Autor/es:
ELSA CORTINA; IGNACIO SÁNCHEZ
Revista:
Trabajos de Matemática. Publicaciones previas
Editorial:
Instituto Argentino de Matemática, CONICET
Referencias:
Lugar: Buenos Aires; Año: 2010 p. 1 - 16
ISSN:
0325 6677
Resumen:
The purpose of this paper is to model and to value a temperaturederivative to hedge late frost risk in viticulture. Starting from historical data,we propose a continuous stochastic model to describe the minimum temperaturebehavior. We define an American binary option to hedge late frost risk, andpresent a numerical application to grape cultivation.
