A proposal of reducing farmer exposition to financial risk supported by derivatives : application to the biodiesel case / Uma proposta de redução da exposição ao risco financeiro do produtor agricola pelo uso de derivativos : aplicação ao caso do biodisel

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

The aim of this research was to present a model to guide the agents involved in the market to reduce the financial risk of a project in the agriculture. Due the moment favorable to the bio-combustible and of the richness of the modeling involved, the biodiesel was chosen to analyze. The biodiesel production includes a basket of vegetal oils and also animal fats, representing the ?basic raw material?. The basket can be composed by different proportions of oils, which prices have inter-relations and the assets have not constant volatilities. The methodology proposed to be applied to the basket of oils is the traditional Black-Scholes model. However, the differential equation to evaluate of the basket, i.e. the premium is very complex because all the oil prices are present. Numerical methods are proposed to estimate the American options. Nevertheless due the dimension of the problem, i.e. due the number of assts, with correlations among the prices, and volatilities not constants, it was employed the Monte Carlo simulation, assisted by the Longstaff-Schwartz algorithm to make possible the employment of that tool at the American options. Two American exotic options have been presented: one Asian option and another one with barrier. The Asian one allows smooth the volatility of the basket and then avoids that great enterprises control the market. The barrier option is the choice of a minimum basket price

ASSUNTO(S)

biodiesel fuels biodiesel mercado de opções derivatives (finance) monte carlo method options market derivativos (finanças) metodo de monte carlo

ACESSO AO ARTIGO

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