Financial instruments to hedge commodity price risk for developing countries /

Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier options-to hedge such risk. It then proposes the use of...

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Détails bibliographiques
Cote:Libro Electrónico
Auteurs principaux: Lu, Yinqiu (Auteur), Neftci, Salih N. (Auteur)
Collectivité auteur: International Monetary Fund. Monetary and Capital Markets Department
Format: Électronique eBook
Langue:Inglés
Publié: Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2008.
©2008
Collection:IMF working paper ; WP/08/6.
Sujets:
Prices > Developing countries.
Commercial products > Economic aspects > Developing countries.
Revenue > Developing countries.
Options (Finance) > Developing countries.
Prix > Pays en voie de développement.
Produits commerciaux > Aspect économique > Pays en voie de développement.
Revenus de l'État > Pays en voie de développement.
Options (Finances) > Pays en voie de développement.
Commercial products > Economic aspects
Economic history
Economic policy
Options (Finance)
Prices
Revenue
Developing countries > Economic policy.
Developing countries > Economic conditions.
Pays en voie de développement > Politique économique.
Pays en voie de développement > Conditions économiques.
Developing countries
Accès en ligne:Texto completo
Table des matières:
  • I. Introduction; II. Smooth fluctuations in Commodity Revenue Collections-Option Transactions; A. Plain Vanilla Options; Figures; 1. A Put Option Structure; B. Risk Reversals; Tables; 1. Prices of ATM Options; 2. Prices of 20 Percent OTM Options; 2. A Zero Premium Risk Reversal Structure; C. Barrier Option Structures; 3. Prices of the Up-and-Out Put Options: H=120; 3. A Knock-out Option; III. Smooth Borrowing Cost-A Structured Product; A. The Instrument; B. Intermediary; 4. The Structure of the New Instrument; C. Pricing; 5 The Involvement of Investment Bank as an Intermediary.

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