Ethanol futures

Corn and ethanol futures hedge ratios

Corn and ethanol futures hedge ratios

This entry is part 2 of 2 in the series The Bio-ethanol crush margin

We are here looking for hedge models and hedge ratio estimations techniques that are “good enough” and that can fit into valuation models using Monte Carlo simulation. The model have to be dynamic in the sense that as new data (contracts) becomes available it can read the data, perform the necessary statistical analysis, produce the hedging coefficients and do the simulations – in one go.

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