Spatial-temporal model of insect growth, diffusion and derivative pricing

Timothy Richards; J. Eeaves; Mark Manfredo; S. E. Naranjo; C. C. Chu; T. J. Henneberry

doi:10.1111/j.1467-8276.2008.01170.x

Spatial-temporal model of insect growth, diffusion and derivative pricing

Timothy Richards, J. Eeaves, Mark Manfredo, S. E. Naranjo, C. C. Chu, T. J. Henneberry

Agribusiness, Morrison School of

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

Insect derivatives represent an important innovation in specialty crop risk management. An active over-the-counter market in insect derivatives will require a transparent pricing method. This paper develops an econometric model of the spatio-temporal process underlying a particular insect population and develops a pricing model based on this process. We show that insect derivatives can play an important risk management role in mitigating B. tabaci (whitefly) damage in cotton. Beyond developing a new risk management instrument, the key methodological contribution of this paper lies in pricing derivatives with stochastic properties in both space and time dimensions.

Original language	English (US)
Pages (from-to)	962-978
Number of pages	17
Journal	American Journal of Agricultural Economics
Volume	90
Issue number	4
DOIs	https://doi.org/10.1111/j.1467-8276.2008.01170.x
State	Published - 2008

Keywords

Derivatives
Invasive species
Risk management
Spatial econometrics

ASJC Scopus subject areas

Agricultural and Biological Sciences (miscellaneous)
Economics and Econometrics

Access to Document

10.1111/j.1467-8276.2008.01170.x

Cite this

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title = "Spatial-temporal model of insect growth, diffusion and derivative pricing",

abstract = "Insect derivatives represent an important innovation in specialty crop risk management. An active over-the-counter market in insect derivatives will require a transparent pricing method. This paper develops an econometric model of the spatio-temporal process underlying a particular insect population and develops a pricing model based on this process. We show that insect derivatives can play an important risk management role in mitigating B. tabaci (whitefly) damage in cotton. Beyond developing a new risk management instrument, the key methodological contribution of this paper lies in pricing derivatives with stochastic properties in both space and time dimensions.",

keywords = "Derivatives, Invasive species, Risk management, Spatial econometrics",

author = "Timothy Richards and J. Eeaves and Mark Manfredo and Naranjo, {S. E.} and Chu, {C. C.} and Henneberry, {T. J.}",

note = "Funding Information: The authors gratefully acknowledge funding for this project from the Risk Management Agency of the USDA (grant no. 04IE08310072) and the Economic Research Service (PREISM) of the USDA (grant no. 433AEM580086). The authors, however, are solely responsible for the findings and conclusions presented herein are not the official position of the USDA.",

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AU - Manfredo, Mark

AU - Naranjo, S. E.

AU - Chu, C. C.

AU - Henneberry, T. J.

N1 - Funding Information: The authors gratefully acknowledge funding for this project from the Risk Management Agency of the USDA (grant no. 04IE08310072) and the Economic Research Service (PREISM) of the USDA (grant no. 433AEM580086). The authors, however, are solely responsible for the findings and conclusions presented herein are not the official position of the USDA.

PY - 2008

Y1 - 2008

N2 - Insect derivatives represent an important innovation in specialty crop risk management. An active over-the-counter market in insect derivatives will require a transparent pricing method. This paper develops an econometric model of the spatio-temporal process underlying a particular insect population and develops a pricing model based on this process. We show that insect derivatives can play an important risk management role in mitigating B. tabaci (whitefly) damage in cotton. Beyond developing a new risk management instrument, the key methodological contribution of this paper lies in pricing derivatives with stochastic properties in both space and time dimensions.

AB - Insect derivatives represent an important innovation in specialty crop risk management. An active over-the-counter market in insect derivatives will require a transparent pricing method. This paper develops an econometric model of the spatio-temporal process underlying a particular insect population and develops a pricing model based on this process. We show that insect derivatives can play an important risk management role in mitigating B. tabaci (whitefly) damage in cotton. Beyond developing a new risk management instrument, the key methodological contribution of this paper lies in pricing derivatives with stochastic properties in both space and time dimensions.

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KW - Invasive species

KW - Risk management

KW - Spatial econometrics

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Spatial-temporal model of insect growth, diffusion and derivative pricing

Abstract

Keywords

ASJC Scopus subject areas

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