Using Options with Set Exercise Prices to Reduce Bidder Exposure in Sequential Auctions

The exposure problem appears whenever an agent with complementary valuations bids to acquire a bundle of items sold sequentially, in separate auctions. In this talk, we review a possible solution that can help solve this problem, which involves selling options for the items, instead of the items themselves. We provide a brief overview of the state of the art in this field and discuss, based on our recent results, under which conditions using option mechanisms would be desirable for both buyers and sellers, by comparison to direct auctioning of items. We conclude with a brief discussion of further research directions in this field, as well as the relation to other techniques proposed to address the problem, such as leveled commitment mechanisms

RISK AND RISK MANAGEMENT IN HUNGARIAN LIVESTOCK PRODUCTION WITH A SPECIAL REGARD TO SHEEP PRODUCTION

The aim of this paper is to give an overview of the risk attitudes of Hungarian sheep producers regarding the changes they have had to go through since the political changes of 1989-1990. Moreover, the objective of this study is to strengthen the empirical basis for risk analysis by identifying the importance of farmers' risk attitudes. The results of a nationwide survey of over 500 sheep farmers presented a framework of risk attitudes, risk sources and applied risk management techniques of livestock producers..risk sources, risk management, sheep farming, EU accession, field survey, Livestock Production/Industries, Risk and Uncertainty, Q100, Q190, R230,

Using the Stocker Cattle Futures and Options Contracts to Manage Price Risks

Marketing,

Winning Probability of Selling Option on Crude Oil West Texas Intermediate

Nescinece of the winning probability of selling option on crude oil West Texas Intermediate (WTI) may be one cause of lack of research on selling options whereas option on WTI trading on NYMEX now becomes one of the largest trading in the world. The study of selling option is much less than buying option, so that people are less familiar to selling option performance probability. This study aims to analyze winning probability of the monthly return of selling option on WTI. The monthly return of selling option premium data was analyzed by the Black Scholes Option Pricing Method using daily WTI price data ranging from April 1984 to May 2017. It employs the runs test as non parametric statistical and one-sample proportion test as parametric statistical method. Empirical results indicate that winning probability of selling option on WTI at the far out of the money strikes is better than at the in the money position strikes. Keywords: Selling option, WTI, probability, randomness, proportio

On the Risk of Life Insurance Liabilities: Debunking Some Common Pitfalls

The objective of this paper is to contribute to a better understanding of the driving forces of a life insurance company. More specifically, the issues of the duration and convexity of insurance liabilities and equity are addressed. These issues deserve a careful rethinking given the recent trends that have affected the insurance landscape. A correct assessment of these risk measures is critical as they constitute the primary ingredients of any sound asset-liability management approach. In addition, the effort toward a more detailed and more accurate risk picture of life insurance operations enables one to debunk some pitfalls that are commonly encountered in the insurance industry. This paper was presented at the Financial Institutions Center's May 1996 conference on "

The New Australian Government's Primary Industries Policies: Some Implications and Opportunities

After more than a decade in opposition, the win by the Australian Labor Party (ALP) at the 2007 Federal Election focuses attention on their pre-election policies. The paper summarises ALP pre-election policies for primary industries, including the resources and seafood sectors; indicates program and policy funding where it is clearly indicated in the policy papers, and commences an interpretation of the implications and opportunities that may develop as the new government proceeds to discuss its policies and their implementation. A major shift in the context for all primary industries policies to 'climate change', irrespective of whether the component policies appear to be little changed is articulated. The detail of climate change policy awaits the Climate Change Review by Professor Ross Garnaut in mid-2008. The immediate implications and opportunities for all specific policies is that they need to be viewed through the new and overarching lens of 'adapting to climate change'.Environmental Economics and Policy, Political Economy,

On financial derivatives and differential equations used in their assessment

This paper deals with the assessment of options on dividend paying stock and futures options. We start from the case of the underlying asset who does not generate dividend and then switch to an underlying asset which pays a continuous dividend yield. The final conditions and the boundary conditions added to a partial differential equation, allow an accurate determination of the solution.differential equation, options on dividend paying stock, futures options, Black_Scholes’ model, Black’s model

Option Derivatives in Electricity Hedging

Despite the high volatility of electricity prices, there is still little demand for electricity power options, and the liquidity on the power exchanges of these power derivatives is quite low. One of the reasons is the uncertainty about how to evaluate these electricity options and about finding the right fair value of this product. Hedging of electricity is associated mainly with products such as futures and forwards. However, due to new trends in electricity trading and hedging, it is also useful to think more about options and the principles for working with them in hedging various portfolio positions and counterparties. We can quite often encounter a situation when we need to have a perfect hedge for our customer’s (end user consuming electricity) portfolio, or we have to evaluate the volumetric risk (inability of a customer to predict consumption, which is very similar to selling options. Now comes the moment to compare the effects of using options or futures to hedge these open positions. From a practical viewpoint, the Black-Scholes prices appear to be the best available and the simplest method for evaluating option premiums, but there are some limitations that we have to consider