Option Pricing on Renewable Commodity Markets
AbstractThe paper motivates and proposes a closed-form option-pricing model for markets such as grains or livestock where the price level can be expected to revert to expected production costs. The model suggests that traditional option pricing models will overprice long-term options on these markets.
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Bibliographic InfoPaper provided by Center for Agricultural and Rural Development (CARD) at Iowa State University in its series Center for Agricultural and Rural Development (CARD) Publications with number 02-wp309.
Date of creation: Jul 2002
Date of revision:
mean reversion; option pricing; renewable commodity markets.;
Other versions of this item:
- Lence, Sergio H. & Hayes, Dermot J., 2002. "Option Pricing On Renewable Commodity Markets," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19053, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Jin, Na & Lence, Sergio H. & Hart, Chad E. & Hayes, Dermot J., 2010. "Option Pricing on Renewable Commodity Markets," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 60955, Agricultural and Applied Economics Association.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-75, March.
- Bryan Routledge & Duane Seppi & Chester Spatt, .
"Equilibrium Forward Curves for Commodities,"
GSIA Working Papers
1997-49, Carnegie Mellon University, Tepper School of Business.
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