Short Hedge Performance of Cotton Options

Lawrence A. Lippke


 
ABSTRACT

Options on cotton futures are a new strategy for cotton producers. This study examines the effects on net returns and survivability of a Texas Southern High Plains cotton farm from 1975 through 1984 under the assumption that commodity futures options had been available. Six naive marketing strategies were compared using stochastic dominance criteria. Buying puts with an at-the-money strike price was the most preferred strategy, while writing calls at any strike price were the least preferred strategies.



Reprinted from 1986 Proceedings: Beltwide Cotton Production Research Conferences pp. 314 - 319
©National Cotton Council, Memphis TN

[Main TOC] | [TOC] | [TOC by Section] | [Search] | [Help]
Previous Page [Previous] [Next] Next Page
 
Document last modified Sunday, Dec 6 1998