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Substitution between revenue futures and price futures contracts: A note
Author(s) -
Hennessy David A.
Publication year - 2002
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.10014
Subject(s) - futures contract , economics , revenue , forward market , financial economics , finance
Abstract In recent years, commercial interest has been expressed in agricultural revenue insurance instruments.Participating parties may look to futures markets to offset assumed positions. In this note, conditions areidentified such that revenue futures contracts are perfect substitutes for price futures contracts. If theseconditions approximate reality, then it would seem questionable whether sufficient interest would exist tosustain markets in both futures contracts. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:387–391,2002