| 초록 |
The Vegetable Supply Stabilization Program(VSSP) has been considered simply as a forward contract between producers and local nonghyup(or NACF, National Agricultural Cooperative Federation), because, under VSSP, the nonghyup has the obligation to buy underlying commodity at predetermined contract price at harvest season. But VSSP provides a complicated payoff to the participating farmers, which makes the contract different from a simple forward. When the underlying commodity price stays in the range of price stabilization zone(SZ), say ±10% of the contract price, the contract works as a simple forward. However, if the price at harvets season goes further away from the SZ, the local nonghyup and farmer share the profit or loss at pre-fixed ratio. Moreover, VSSP provides a put option to the participating farmers. That is, government buys the underlying commodities when prices plunges to lower level than the target price. Therefore, VSSP payoff structure is very similar to an exotic call option when prices goes up beyond the stabilization level. VSSP is a kind of donw-and-out put option when price stays between the lower bound of SZ and the lowest target price. This paper shows VSSP is a synthetic of a forward and several exotic options, and introduces option pricing models with which we can calculate participating farmers's payoff.
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