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A pricing model for yield contracts
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- Discussion papers (FOR) 
An economic model is proposed for the analysis of quantum and revenue hedges, and prices of contingent claims on revenue and quantum are presented and discussed. In particular we discuss how one can use futures, and futures options markets for quantum, and combine these with a similar market for future contracts on price, in order to hedge revenue. An example of contingent claims on quantum is given by area yield futures and options traded at the CBoT.
Revised version - September 2002 Original title: Area Yield Futures and Options
PublisherNorwegian School of Economics and Business Administration. Department of Finance and Management Science