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Wanted: No Arbitrage, Dead Or Alive: A Comparison Of Hedging With Futures Contracts Or Resource Reserves For Arbitrage-Free Resource Harvest Contract Valuation

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Author Info
Burnes, Ellen
Abstract

We develop a valuation model based on conservation rules, and stochastic prices and inventories. Dynamic programming determines the optimal harvest amount. A hedge portfolio based on a resource reserve is proposed. The optimal size of the reserve is determined, as well as its value.

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File URL: http://purl.umn.edu/21872
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Publisher Info
Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2000 Annual meeting, July 30-August 2, Tampa, FL with number 21872.

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Date of creation: 2000
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Handle: RePEc:ags:aaea00:21872

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Keywords: Financial Economics; Marketing;

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This page was last updated on 2009-12-26.

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