IAM 02674
INSTITUTO ARGENTINO DE MATEMATICA ALBERTO CALDERON
Unidad Ejecutora - UE
artículos
Título:
Hedging late frost risk with American binary options: An application to grape cultivation in Argentina
Autor/es:
ELSA CORTINA; IGNACIO SÁNCHEZ
Revista:
Trabajos de Matemática
Editorial:
Instituto Argentino de Matemática
Referencias:
Lugar: Buenos Aires; Año: 2012 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 grape cultivation. Starting from historicaldata, we propose a continuous stochastic model to describe the minimum tem-perature behavior. We define an American binary option to
