FAIR VALUE PRICING OF AGRICULTURAL FUTURES IN SOUTH AFRICA
In the South African agricultural (specifically grain) markets an interesting phenomenon exists: where futures and options on grain products exist (i.e. white maize, yellow maize, soy beans, wheat, and sunflower seeds) price discovery in the spot (also known as “cash”) markets is poor, whereas price...
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| Veröffentlicht in: | The South African Journal of economics 2006-06, Vol.74 (2), p.261-265 |
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| container_title | The South African Journal of economics |
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| creator | Faure, Ap |
| description | In the South African agricultural (specifically grain) markets an interesting phenomenon exists: where futures and options on grain products exist (i.e. white maize, yellow maize, soy beans, wheat, and sunflower seeds) price discovery in the spot (also known as “cash”) markets is poor, whereas price discovery in the futures markets is considered respectable. Consequently, whenever a spot deal is undertaken, this price is “derived” from the relevant futures market.
This severely anomalous phenomenon will be evident: futures are generally labeled “derivatives” because their prices are “derived” from their spot markets, whereas here we have a situation where spot prices are derived from their futures price (specifically the price of the near – as opposed to far – future). Because of this unusual phenomenon the mathematics involved is not readily available in the literature; this article is an attempt to briefly outline the phenomenon and to present the relevant mathematics. |
| doi_str_mv | 10.1111/j.1813-6982.2006.00069.x |
| format | Article |
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This severely anomalous phenomenon will be evident: futures are generally labeled “derivatives” because their prices are “derived” from their spot markets, whereas here we have a situation where spot prices are derived from their futures price (specifically the price of the near – as opposed to far – future). Because of this unusual phenomenon the mathematics involved is not readily available in the literature; this article is an attempt to briefly outline the phenomenon and to present the relevant mathematics.</description><identifier>ISSN: 0038-2280</identifier><identifier>EISSN: 1813-6982</identifier><identifier>DOI: 10.1111/j.1813-6982.2006.00069.x</identifier><language>eng</language><publisher>Malden, USA: Blackwell Publishing Inc</publisher><subject>agricultural futures ; Agricultural production ; Agriculture ; Agriculture - South Africa ; Asset valuation ; Capital market ; carry cost model ; Commodity exchanges ; Commodity market ; derivation of spot price ; Derivatives ; derivatives market ; Fair value ; Futures ; Futures market ; G12 ; G13 ; Helianthus ; Prices ; Pricing ; South Africa ; Studies ; Triticum aestivum ; Valuation ; valuation of futures ; Zea mays</subject><ispartof>The South African Journal of economics, 2006-06, Vol.74 (2), p.261-265</ispartof><rights>Copyright Economic Society of South Africa Jun 2006</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c6009-9afdcd108044ccffc0c35a0c31861963163be34abb55c856dcf7e8cbb79afb733</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fj.1813-6982.2006.00069.x$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fj.1813-6982.2006.00069.x$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,776,780,1411,3994,27842,27843,27901,27902,45550,45551</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/blasajeco/v_3a74_3ay_3a2006_3ai_3a2_3ap_3a261-265.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Faure, Ap</creatorcontrib><title>FAIR VALUE PRICING OF AGRICULTURAL FUTURES IN SOUTH AFRICA</title><title>The South African Journal of economics</title><description>In the South African agricultural (specifically grain) markets an interesting phenomenon exists: where futures and options on grain products exist (i.e. white maize, yellow maize, soy beans, wheat, and sunflower seeds) price discovery in the spot (also known as “cash”) markets is poor, whereas price discovery in the futures markets is considered respectable. Consequently, whenever a spot deal is undertaken, this price is “derived” from the relevant futures market.
This severely anomalous phenomenon will be evident: futures are generally labeled “derivatives” because their prices are “derived” from their spot markets, whereas here we have a situation where spot prices are derived from their futures price (specifically the price of the near – as opposed to far – future). 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South Africa</topic><topic>Asset valuation</topic><topic>Capital market</topic><topic>carry cost model</topic><topic>Commodity exchanges</topic><topic>Commodity market</topic><topic>derivation of spot price</topic><topic>Derivatives</topic><topic>derivatives market</topic><topic>Fair value</topic><topic>Futures</topic><topic>Futures market</topic><topic>G12</topic><topic>G13</topic><topic>Helianthus</topic><topic>Prices</topic><topic>Pricing</topic><topic>South Africa</topic><topic>Studies</topic><topic>Triticum aestivum</topic><topic>Valuation</topic><topic>valuation of futures</topic><topic>Zea mays</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Faure, Ap</creatorcontrib><collection>Istex</collection><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>Risk Abstracts</collection><collection>Safety Science and Risk</collection><collection>Environmental Sciences and Pollution Management</collection><jtitle>The South African Journal of economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Faure, Ap</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>FAIR VALUE PRICING OF AGRICULTURAL FUTURES IN SOUTH AFRICA</atitle><jtitle>The South African Journal of economics</jtitle><date>2006-06</date><risdate>2006</risdate><volume>74</volume><issue>2</issue><spage>261</spage><epage>265</epage><pages>261-265</pages><issn>0038-2280</issn><eissn>1813-6982</eissn><abstract>In the South African agricultural (specifically grain) markets an interesting phenomenon exists: where futures and options on grain products exist (i.e. white maize, yellow maize, soy beans, wheat, and sunflower seeds) price discovery in the spot (also known as “cash”) markets is poor, whereas price discovery in the futures markets is considered respectable. Consequently, whenever a spot deal is undertaken, this price is “derived” from the relevant futures market.
This severely anomalous phenomenon will be evident: futures are generally labeled “derivatives” because their prices are “derived” from their spot markets, whereas here we have a situation where spot prices are derived from their futures price (specifically the price of the near – as opposed to far – future). Because of this unusual phenomenon the mathematics involved is not readily available in the literature; this article is an attempt to briefly outline the phenomenon and to present the relevant mathematics.</abstract><cop>Malden, USA</cop><pub>Blackwell Publishing Inc</pub><doi>10.1111/j.1813-6982.2006.00069.x</doi><tpages>5</tpages></addata></record> |
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| identifier | ISSN: 0038-2280 |
| ispartof | The South African Journal of economics, 2006-06, Vol.74 (2), p.261-265 |
| issn | 0038-2280 1813-6982 |
| language | eng |
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| source | RePEc; Wiley Online Library Journals Frontfile Complete; PAIS Index |
| subjects | agricultural futures Agricultural production Agriculture Agriculture - South Africa Asset valuation Capital market carry cost model Commodity exchanges Commodity market derivation of spot price Derivatives derivatives market Fair value Futures Futures market G12 G13 Helianthus Prices Pricing South Africa Studies Triticum aestivum Valuation valuation of futures Zea mays |
| title | FAIR VALUE PRICING OF AGRICULTURAL FUTURES IN SOUTH AFRICA |
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