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Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model

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  • Jin W. Choi
  • Francis A. Longstaff

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  • Jin W. Choi & Francis A. Longstaff, 1985. "Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(2), pages 247-258, June.
    • Handle: RePEc:wly:jfutmk:v:5:y:1985:i:2:p:247-258
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    Cited by:

    1. Duncan, Steven Scott, 1988. "The relevant forecast of variance of income for marketing decisions under uncertainty," ISU General Staff Papers 198801010800009839, Iowa State University, Department of Economics.
    2. Kim, Donghyun & Choi, Sun-Yong & Yoon, Ji-Hun, 2021. "Pricing of vulnerable options under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    3. Tabesh, Hamid, 1987. "Hedging price risk to soybean producers with futures and options: a case study," ISU General Staff Papers 1987010108000010306, Iowa State University, Department of Economics.
    4. Ma, Zonggang & Ma, Chaoqun & Wu, Zhijian, 2020. "Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
    5. Aricson Cruz & José Carlos Dias, 2020. "Valuing American-style options under the CEV model: an integral representation based method," Review of Derivatives Research, Springer, vol. 23(1), pages 63-83, April.
    6. Sveltana Vlady, 2015. "The Effect of Climate Change on Australian Stock Equity Returns," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 88-109.
    7. José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz, 2020. "A note on options and bubbles under the CEV model: implications for pricing and hedging," Review of Derivatives Research, Springer, vol. 23(3), pages 249-272, October.
    8. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc.
    9. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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