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Estimating hedging ratios in agricultural futures and options markets and studying the factors influencing them: a case study of pistachio in Iran



Estimating hedging ratios in agricultural futures and options markets and studying the factors influencing them: a case study of pistachio in Iran



Journal of Science and Technology of Agriculture and Natural Resources 10(2): 1-16



This paper introduces different models for measuring ratio of futures and options markets and validates it using the case of 300 Iranian pistachio producers. Results showed that hedge ratios in pistachio futures and options markets were 0.22-0.99 on the average. When pistachio yield is upredictable, options market is preferred to futures market.

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Accession: 012786482

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