Theory and Measurement of Exotic Options in U.S. Agricultural Support Programs
为美国农业支持计划中的奇异期权建立定价模型，用数值方法计算市场溢价，并比较玉米传统支持计划与期权试点计划对政府和生产者的价值。
Abstract Theoretical models are derived for pricing derivative market instruments with payoff structures identical to those implied by the deficiency, Findley, and loan programs. Numerical approximation methods are used to obtain market premiums for the exotic contingent claims embedded in these types of programs. The application focuses on a comparison of the value of traditional support programs for corn to that of an exchange put offered under the Option Pilot Program. The comparison provides measures of expected cost to the government and of the value of the programs to the producer.