نوع مقاله : مقاله پژوهشی
نویسندگان
چکیده
کلیدواژهها
عنوان مقاله [English]
The aim of this study is specification determination of agricultural futures contracts in Iran with high probability of success after establishment. We examined specifications for the margin requirements, daily price movement limits, length of expiration intervals, tick sizes and contract size of saffron, pistachios and rice as potential futures contracts in Iran. A new Value at Risk (VaR) optimization model using a nonparametric sampling approach is used to determine the daily margin requirements and daily price movement limits. Expiration intervals are determined by the simulated daily futures price with the minimum 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 initial suggested amounts for setting up an agricultural futures market in Iran.
JEL Classification: G10 – Q13
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