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Journal of Agricultural Science and Technology، جلد ۱۲، شماره ۲۰، صفحات ۵۳۵-۵۴۸
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عنوان انگلیسی The Initial Specification of Viable Futures Contracts: The Use of a New Computational Method of Value at Risk in Iranian Agricultural Commodities Market
چکیده انگلیسی مقاله The aim of this study is to explore the feasibility of setting up a Commodities Futures Market in Iran. Specifications for the margin requirements, daily price movement limits, the length of expiration intervals, tick sizes and contract size of various potential future contracts are hereby examined. Saffron, pistachio and rice emerge as the three suitable Iranian agricultural commodities. A new computational method of Value at Risk (VaR) optimization model, using a nonparametric sampling approach, is employed to determine the daily margin requirements and daily price fluctuation limits. Expiration intervals are determined by the simulated daily future price with a minimum of volatility. The daily risk free interest rate and the minimum daily average trading value of a participant in the Tehran Stock Exchange (TSE) are used as benchmarks to determine the minimum tick size and contract size for each commodity. These contract specifications are the initially suggested quantities for setting up an agricultural futures market in Iran.
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نویسندگان مقاله | S. A. Hosseini-Yekani
Department of Agricultural Economics, Sari Agricultural Sciences and Natural Resources University, Sari, Islamic Republic of Iran.


| M. Zibaei
Department of Agricultural Economics, Shiraz University, Shiraz, Islamic Republic of Iran.


| E. Allen
School of Accounting, Finance and Economics, Edith Cowan University, Western Australia, Australia.
نشانی اینترنتی http://journals.modares.ac.ir/browse.php?a_code=A-23-1000-3188&slc_lang=en&sid=23
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