232 records matched your query       

Author:

Hennessy, David A.

Title:

A crop yield expectation stochastic process with beta distribution as limit / David A. Hennessy.

Publisher:

Center for Agricultural and Rural DevelopmentIowa State University,

Copyright Date:

2009

Description:

19 p. ; 28 cm.

Subject:

Crop yields--Mathematical models.--Mathematical models.
Crop yields--Economic aspects.
Stochastic processes--Mathematical models.

Other Authors:

Iowa State University. Center for Agricultural and Rural Development.

Notes:

"November 2009." Author-supplied keywords: crop insurance, growing degree days, martingale, Pólya urn, stochastic process. Includes bibliographical references (p. 15-18).

Summary:

The modeling of price risk in the theory and practice of commodity risk management has been developed far beyond that of crop yield risk. This is in large part due to the use of plausible stochastic price processes. We use the Pó́lya urn to identify and develop a model of the crop yield expectation stochastic process over a growing season. The process allows a role for agronomic events, such as growing degree days. The model is internally consistent in adhering to the martingale property. The limiting distribution is the beta, commonly used in yield modeling. By applying binomial tree analysis, we show how to use the framework to study hedging decisions and crop valuation.

Series:

Working paper ; 09-WP 501

OCLC:

(OCoLC)467921433

Locations:

USUX851 -- Iowa State University - Parks Library (Ames)

IAOX771 -- State Library of Iowa (Des Moines)

OVUX522 -- University of Iowa Libraries (Iowa City)