12
Table 4. Effect of Yield Basis Risk on Net Revenue Probability Density Functions
(Hedging using price and yield futures)
|
Net Revenue |
'cy (0.2) |
'cy (0.4) |
'cy (0.621)(0.8) |
'cy (1.0) |
'cy |
|
<45 |
3.4 |
2.2 |
08 |
0.1 |
0.0 |
|
45-70 |
5.3 |
3.8 |
2.7 |
1.0 |
0.1 |
|
70- 95 |
10.4 |
10.5 |
8.6 |
5.9 |
1.3 |
|
95-120 |
17.1 |
18.1 |
20.1 |
21.0 |
13.2 |
|
120-145 |
22.4 |
25.3 |
30.1 |
37.7 |
63.6 |
|
145-170 |
19.4 |
21.0 |
24.0 |
26.4 |
21.2 |
|
170-195 |
13.1 |
12.8 |
10.6 |
6.8 |
0.6 |
|
195-220 |
6.2 |
4.7 |
2.6 |
1.0 |
0.0 |
|
220-245 |
2.0 |
1.1 |
0.5 |
0.1 |
0.0 |
|
>245 |
0.7 |
0.3 |
0.1 |
0.0 |
0.0 |
|
— 100% |
— 100% |
— 100% |
— 100% |
— 100% | |
|
Mean ($) |
134.17 |
134.19 |
134.20 |
134.19 |
134.15 |
|
Variance |
2199 |
1696 |
1144 |
702 |
218 |
|
HE |
0.229 |
0.406 |
0.599 |
0.754 |
0.923 |
'cp , 'sp and 'sy are held constant at 0.973, 0.995 and 0.876 respectively.
More intriguing information
1. Spectral calibration of exponential Lévy Models [1]2. National urban policy responses in the European Union: Towards a European urban policy?
3. The name is absent
4. The name is absent
5. Factores de alteração da composição da Despesa Pública: o caso norte-americano
6. Innovation Trajectories in Honduras’ Coffee Value Chain. Public and Private Influence on the Use of New Knowledge and Technology among Coffee Growers
7. Regulation of the Electricity Industry in Bolivia: Its Impact on Access to the Poor, Prices and Quality
8. A COMPARATIVE STUDY OF ALTERNATIVE ECONOMETRIC PACKAGES: AN APPLICATION TO ITALIAN DEPOSIT INTEREST RATES
9. An Efficient Circulant MIMO Equalizer for CDMA Downlink: Algorithm and VLSI Architecture
10. Managing Human Resources in Higher Education: The Implications of a Diversifying Workforce